Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
These are hypothetical performance results that have certain inherent limitations. Learn more

EarningsTradingQuant
(113795712)

Created by: johnkur johnkur
Started: 09/2017
Stocks
Last trade: 1,791 days ago
Trading style: Equity Event-driven

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $143.00 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.

Trading Category: Equity
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
5.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(34.9%)
Max Drawdown
1612
Num Trades
50.7%
Win Trades
1.1 : 1
Profit Factor
12.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                        +2.3%+29.1%(1.2%)+4.3%+36.0%
2018(1.3%)+7.8%(1.8%)(0.6%)+0.2%+11.6%(14.4%)+27.3%(8.4%)(6.7%)(11.4%)(7.2%)(11.1%)
2019+17.7%+20.4%+7.3%(15.3%)(9.3%)  -    -    -    -    -    -    -  +17.0%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 458 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2068 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/19 15:45 RPD RAPID7 INC. COMMON STOCK LONG 115 52.95 5/3 15:44 52.42 0.14%
Trade id #123513268
Max drawdown($61)
Time5/3/19 15:44
Quant open0
Worst price52.42
Drawdown as % of equity-0.14%
($63)
Includes Typical Broker Commissions trade costs of $2.30
5/2/19 15:45 BAND BANDWIDTH INC. CLASS A COMMON STOCK LONG 82 72.62 5/3 15:44 69.68 1.45%
Trade id #123513266
Max drawdown($642)
Time5/3/19 9:41
Quant open82
Worst price64.78
Drawdown as % of equity-1.45%
($243)
Includes Typical Broker Commissions trade costs of $1.64
5/2/19 15:45 PCTY PAYLOCITY HOLDING CORPORATION LONG 63 95.78 5/3 15:44 98.76 0.08%
Trade id #123513264
Max drawdown($35)
Time5/2/19 15:50
Quant open63
Worst price95.21
Drawdown as % of equity-0.08%
$187
Includes Typical Broker Commissions trade costs of $1.26
5/2/19 15:45 ACIA ACACIA COMMUNICATIONS INC. COMMON STOCK LONG 100 60.29 5/3 15:44 59.08 0.74%
Trade id #123513260
Max drawdown($329)
Time5/2/19 16:22
Quant open100
Worst price57.00
Drawdown as % of equity-0.74%
($123)
Includes Typical Broker Commissions trade costs of $2.00
5/2/19 15:45 APPN APPIAN CORPORATION CLASS A COMMON STOCK LONG 170 36.04 5/3 15:44 32.46 1.93%
Trade id #123513258
Max drawdown($855)
Time5/3/19 9:40
Quant open170
Worst price31.01
Drawdown as % of equity-1.93%
($612)
Includes Typical Broker Commissions trade costs of $3.40
5/2/19 15:45 UPLD UPLAND SOFTWARE INC. COMMON S LONG 131 46.04 5/3 15:44 46.23 0.46%
Trade id #123513254
Max drawdown($204)
Time5/3/19 9:31
Quant open131
Worst price44.48
Drawdown as % of equity-0.46%
$22
Includes Typical Broker Commissions trade costs of $2.62
5/2/19 15:45 DATA TABLEAU SOFTWARE INC LONG 50 119.96 5/3 15:44 125.47 0.6%
Trade id #123513252
Max drawdown($267)
Time5/2/19 16:06
Quant open50
Worst price114.62
Drawdown as % of equity-0.60%
$275
Includes Typical Broker Commissions trade costs of $1.00
5/2/19 15:45 LPSN LIVEPERSON LONG 202 29.88 5/3 15:44 28.59 1.05%
Trade id #123513290
Max drawdown($466)
Time5/3/19 9:38
Quant open202
Worst price27.57
Drawdown as % of equity-1.05%
($265)
Includes Typical Broker Commissions trade costs of $4.04
5/2/19 15:45 BRSS GLOBAL BRASS AND COPPER HOLDIN LONG 138 43.46 5/3 15:44 43.85 0.05%
Trade id #123513275
Max drawdown($20)
Time5/3/19 9:32
Quant open138
Worst price43.31
Drawdown as % of equity-0.05%
$51
Includes Typical Broker Commissions trade costs of $2.76
5/2/19 15:45 GSHD GOOSEHEAD INSURANCE INC. CLASS A LONG 196 31.02 5/3 15:44 34.12 0.73%
Trade id #123513270
Max drawdown($321)
Time5/3/19 9:36
Quant open196
Worst price29.38
Drawdown as % of equity-0.73%
$604
Includes Typical Broker Commissions trade costs of $3.92
5/2/19 15:45 APPF APPFOLIO INC. CLASS A COMMON STOCK LONG 62 97.25 5/3 15:44 93.75 1.82%
Trade id #123513262
Max drawdown($804)
Time5/3/19 9:31
Quant open62
Worst price84.28
Drawdown as % of equity-1.82%
($218)
Includes Typical Broker Commissions trade costs of $1.24
5/2/19 15:45 EPAY BOTTOMLINE TECHNOLOGIES LONG 119 50.39 5/3 15:44 45.55 1.99%
Trade id #123513256
Max drawdown($879)
Time5/3/19 9:31
Quant open119
Worst price43.00
Drawdown as % of equity-1.99%
($578)
Includes Typical Broker Commissions trade costs of $2.38
5/2/19 15:45 PLNT PLANET FITNESS INC LONG 80 75.10 5/3 15:44 72.52 1.37%
Trade id #123513249
Max drawdown($608)
Time5/3/19 9:34
Quant open80
Worst price67.50
Drawdown as % of equity-1.37%
($208)
Includes Typical Broker Commissions trade costs of $1.60
5/1/19 15:45 FND FLOOR & DECOR HOLDINGS INC LONG 93 47.60 5/2 15:44 48.25 0.07%
Trade id #123497424
Max drawdown($33)
Time5/2/19 9:31
Quant open93
Worst price47.24
Drawdown as % of equity-0.07%
$58
Includes Typical Broker Commissions trade costs of $1.86
5/1/19 15:45 FOXF FOX FACTORY HOLDING CORP. COMM LONG 59 75.98 5/2 15:44 75.16 0.78%
Trade id #123497406
Max drawdown($352)
Time5/2/19 9:31
Quant open59
Worst price70.00
Drawdown as % of equity-0.78%
($49)
Includes Typical Broker Commissions trade costs of $1.18
5/1/19 15:45 FIVN FIVE9 INC. COMMON STOCK LONG 85 53.19 5/2 15:44 49.18 0.84%
Trade id #123497373
Max drawdown($377)
Time5/2/19 9:35
Quant open85
Worst price48.74
Drawdown as % of equity-0.84%
($343)
Includes Typical Broker Commissions trade costs of $1.70
5/1/19 15:45 AYX ALTERYX INC LONG 51 87.73 5/2 15:44 95.04 0.66%
Trade id #123497371
Max drawdown($300)
Time5/1/19 16:13
Quant open51
Worst price81.84
Drawdown as % of equity-0.66%
$372
Includes Typical Broker Commissions trade costs of $1.02
5/1/19 15:45 IBP INSTALLED BUILDING PRODUCTS LONG 91 49.09 5/2 15:44 52.97 0.46%
Trade id #123497426
Max drawdown($205)
Time5/2/19 9:31
Quant open91
Worst price46.83
Drawdown as % of equity-0.46%
$351
Includes Typical Broker Commissions trade costs of $1.82
5/1/19 15:45 BHR BRAEMAR HOTELS & RESORTS INC LONG 339 13.25 5/2 15:44 13.07 0.45%
Trade id #123497417
Max drawdown($203)
Time5/2/19 9:33
Quant open339
Worst price12.65
Drawdown as % of equity-0.45%
($68)
Includes Typical Broker Commissions trade costs of $6.78
5/1/19 15:45 FORM FORMFACTOR LONG 234 18.86 5/2 15:44 16.90 2.03%
Trade id #123497412
Max drawdown($917)
Time5/2/19 9:31
Quant open234
Worst price14.94
Drawdown as % of equity-2.03%
($464)
Includes Typical Broker Commissions trade costs of $4.68
5/1/19 15:45 INOV INNOVATOR INTL DEVELOPED POWER BUFFER NOV LONG 338 13.32 5/2 15:44 14.28 0.05%
Trade id #123497410
Max drawdown($23)
Time5/1/19 15:48
Quant open338
Worst price13.25
Drawdown as % of equity-0.05%
$317
Includes Typical Broker Commissions trade costs of $6.76
5/1/19 15:45 EVTC EVERTEC INC LONG 144 30.58 5/2 15:44 29.72 0.62%
Trade id #123497408
Max drawdown($276)
Time5/2/19 11:17
Quant open144
Worst price28.66
Drawdown as % of equity-0.62%
($127)
Includes Typical Broker Commissions trade costs of $2.88
5/1/19 15:45 CRUS CIRRUS LOGIC LONG 92 48.26 5/2 15:44 49.28 0.34%
Trade id #123497381
Max drawdown($153)
Time5/2/19 9:39
Quant open92
Worst price46.59
Drawdown as % of equity-0.34%
$92
Includes Typical Broker Commissions trade costs of $1.84
5/1/19 15:45 MED MEDIFAST LONG 29 151.97 5/2 15:44 142.68 0.76%
Trade id #123497379
Max drawdown($335)
Time5/2/19 14:25
Quant open29
Worst price140.41
Drawdown as % of equity-0.76%
($270)
Includes Typical Broker Commissions trade costs of $0.58
5/1/19 15:45 EEX EMERALD HOLDING INC LONG 320 13.98 5/2 15:44 13.17 0.63%
Trade id #123497433
Max drawdown($278)
Time5/2/19 14:11
Quant open320
Worst price13.11
Drawdown as % of equity-0.63%
($265)
Includes Typical Broker Commissions trade costs of $6.40
5/1/19 15:45 WK WORKIVA INC LONG 85 52.34 5/2 15:44 52.60 0.25%
Trade id #123497419
Max drawdown($113)
Time5/1/19 16:20
Quant open85
Worst price51.00
Drawdown as % of equity-0.25%
$20
Includes Typical Broker Commissions trade costs of $1.70
5/1/19 15:45 CDAY CERIDIAN HCM HOLDINGS INC LONG 84 52.23 5/2 15:44 49.43 1.34%
Trade id #123497414
Max drawdown($607)
Time5/1/19 16:22
Quant open84
Worst price45.00
Drawdown as % of equity-1.34%
($237)
Includes Typical Broker Commissions trade costs of $1.68
5/1/19 15:45 AEGN AEGION LONG 223 20.01 5/2 15:44 16.70 1.77%
Trade id #123497404
Max drawdown($784)
Time5/2/19 10:45
Quant open223
Worst price16.49
Drawdown as % of equity-1.77%
($742)
Includes Typical Broker Commissions trade costs of $4.46
5/1/19 15:45 LXFR LUXFER HOLDINGS LONG 188 24.16 5/2 15:44 24.19 0.56%
Trade id #123497402
Max drawdown($253)
Time5/2/19 9:32
Quant open188
Worst price22.81
Drawdown as % of equity-0.56%
$2
Includes Typical Broker Commissions trade costs of $3.76
5/1/19 15:45 CREE CREE LONG 68 65.02 5/2 15:44 65.92 1.21%
Trade id #123497375
Max drawdown($545)
Time5/2/19 9:31
Quant open68
Worst price57.01
Drawdown as % of equity-1.21%
$60
Includes Typical Broker Commissions trade costs of $1.36

Statistics

  • Strategy began
    9/21/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2376.28
  • Age
    79 months ago
  • What it trades
    Stocks
  • # Trades
    1612
  • # Profitable
    818
  • % Profitable
    50.70%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    34.92%
  • drawdown period
    Aug 22, 2018 - Jan 18, 2019
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $316.82
  • Avg loss
    $303.82
  • Model Account Values (Raw)
  • Cash
    $43,115
  • Margin Used
    $0
  • Buying Power
    $43,115
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.4
  • Calmar Ratio
    0.521
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -67.92%
  • Correlation to SP500
    0.00750
  • Return Percent SP500 (cumu) during strategy life
    109.99%
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Slump
  • Current Slump as Pcnt Equity
    33.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • 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)
    0.055%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    0.50%
  • 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
    98.72%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $304
  • Avg Win
    $317
  • Sum Trade PL (losers)
    $241,237.000
  • Age
  • Num Months filled monthly returns table
    79
  • Win / Loss
  • Sum Trade PL (winners)
    $259,162.000
  • # Winners
    818
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    205
  • Win / Loss
  • # Losers
    794
  • % Winners
    50.7%
  • Frequency
  • Avg Position Time (mins)
    1514.07
  • Avg Position Time (hrs)
    25.23
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    1787
  • Regression
  • Alpha
    0.01
  • Beta
    0.01
  • Treynor Index
    2.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    53.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.70
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    51.891
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.301
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.450
  • Hold-and-Hope Ratio
    0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14014
  • SD
    0.26453
  • Sharpe ratio (Glass type estimate)
    0.52980
  • Sharpe ratio (Hedges UMVUE)
    0.52129
  • df
    47.00000
  • t
    1.05960
  • p
    0.14737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50692
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25094
  • Upside Potential Ratio
    2.66582
  • Upside part of mean
    0.29866
  • Downside part of mean
    -0.15851
  • Upside SD
    0.24000
  • Downside SD
    0.11203
  • N nonnegative terms
    10.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.12607
  • Mean of criterion
    0.14014
  • SD of predictor
    0.18401
  • SD of criterion
    0.26453
  • Covariance
    0.00791
  • r
    0.16253
  • b (slope, estimate of beta)
    0.23366
  • a (intercept, estimate of alpha)
    0.11069
  • Mean Square Error
    0.06961
  • DF error
    46.00000
  • t(b)
    1.11722
  • p(b)
    0.13485
  • t(a)
    0.82281
  • p(a)
    0.20743
  • Lowerbound of 95% confidence interval for beta
    -0.18732
  • Upperbound of 95% confidence interval for beta
    0.65463
  • Lowerbound of 95% confidence interval for alpha
    -0.16009
  • Upperbound of 95% confidence interval for alpha
    0.38147
  • Treynor index (mean / b)
    0.59979
  • Jensen alpha (a)
    0.11069
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10835
  • SD
    0.24547
  • Sharpe ratio (Glass type estimate)
    0.44140
  • Sharpe ratio (Hedges UMVUE)
    0.43431
  • df
    47.00000
  • t
    0.88279
  • p
    0.19092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41821
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91671
  • Upside Potential Ratio
    2.31162
  • Upside part of mean
    0.27322
  • Downside part of mean
    -0.16487
  • Upside SD
    0.21450
  • Downside SD
    0.11819
  • N nonnegative terms
    10.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.10811
  • Mean of criterion
    0.10835
  • SD of predictor
    0.18894
  • SD of criterion
    0.24547
  • Covariance
    0.00789
  • r
    0.17018
  • b (slope, estimate of beta)
    0.22109
  • a (intercept, estimate of alpha)
    0.08445
  • Mean Square Error
    0.05978
  • DF error
    46.00000
  • t(b)
    1.17127
  • p(b)
    0.12376
  • t(a)
    0.68134
  • p(a)
    0.24954
  • Lowerbound of 95% confidence interval for beta
    -0.15887
  • Upperbound of 95% confidence interval for beta
    0.60105
  • Lowerbound of 95% confidence interval for alpha
    -0.16504
  • Upperbound of 95% confidence interval for alpha
    0.33393
  • Treynor index (mean / b)
    0.49006
  • Jensen alpha (a)
    0.08445
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10195
  • Expected Shortfall on VaR
    0.12785
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04000
  • Expected Shortfall on VaR
    0.07986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.86241
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.30158
  • Mean of quarter 1
    0.95454
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.10149
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.20833
  • Mean of outliers low
    0.94544
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.20833
  • Mean of outliers high
    1.12179
  • 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)
    -0.13701
  • VaR(95%) (regression method)
    0.06264
  • Expected Shortfall (regression method)
    0.09567
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01019
  • Quartile 1
    0.01365
  • Median
    0.03587
  • Quartile 3
    0.19145
  • Maximum
    0.25776
  • Mean of quarter 1
    0.01192
  • Mean of quarter 2
    0.03587
  • Mean of quarter 3
    0.19145
  • Mean of quarter 4
    0.25776
  • Inter Quartile Range
    0.17780
  • 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)
    0.18116
  • Compounded annual return (geometric extrapolation)
    0.14598
  • Calmar ratio (compounded annual return / max draw down)
    0.56632
  • Compounded annual return / average of 25% largest draw downs
    0.56632
  • Compounded annual return / Expected Shortfall lognormal
    1.14177
  • 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
    0.12405
  • SD
    0.19160
  • Sharpe ratio (Glass type estimate)
    0.64745
  • Sharpe ratio (Hedges UMVUE)
    0.64699
  • df
    1066.00000
  • t
    1.30658
  • p
    0.48001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61859
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10109
  • Upside Potential Ratio
    5.48849
  • Upside part of mean
    0.61833
  • Downside part of mean
    -0.49428
  • Upside SD
    0.15505
  • Downside SD
    0.11266
  • N nonnegative terms
    153.00000
  • N negative terms
    914.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1067.00000
  • Mean of predictor
    0.18100
  • Mean of criterion
    0.12405
  • SD of predictor
    0.25529
  • SD of criterion
    0.19160
  • Covariance
    0.00031
  • r
    0.00625
  • b (slope, estimate of beta)
    0.00469
  • a (intercept, estimate of alpha)
    0.12300
  • Mean Square Error
    0.03674
  • DF error
    1065.00000
  • t(b)
    0.20382
  • p(b)
    0.49602
  • t(a)
    1.29581
  • p(a)
    0.47475
  • Lowerbound of 95% confidence interval for beta
    -0.04044
  • Upperbound of 95% confidence interval for beta
    0.04981
  • Lowerbound of 95% confidence interval for alpha
    -0.06336
  • Upperbound of 95% confidence interval for alpha
    0.30976
  • Treynor index (mean / b)
    26.46570
  • Jensen alpha (a)
    0.12320
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10592
  • SD
    0.18970
  • Sharpe ratio (Glass type estimate)
    0.55839
  • Sharpe ratio (Hedges UMVUE)
    0.55799
  • df
    1066.00000
  • t
    1.12685
  • p
    0.48275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52950
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92000
  • Upside Potential Ratio
    5.26936
  • Upside part of mean
    0.60668
  • Downside part of mean
    -0.50076
  • Upside SD
    0.15079
  • Downside SD
    0.11513
  • N nonnegative terms
    153.00000
  • N negative terms
    914.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1067.00000
  • Mean of predictor
    0.14824
  • Mean of criterion
    0.10592
  • SD of predictor
    0.25621
  • SD of criterion
    0.18970
  • Covariance
    0.00032
  • r
    0.00650
  • b (slope, estimate of beta)
    0.00481
  • a (intercept, estimate of alpha)
    0.10521
  • Mean Square Error
    0.03602
  • DF error
    1065.00000
  • t(b)
    0.21197
  • p(b)
    0.49587
  • t(a)
    1.11805
  • p(a)
    0.47821
  • Lowerbound of 95% confidence interval for beta
    -0.03971
  • Upperbound of 95% confidence interval for beta
    0.04932
  • Lowerbound of 95% confidence interval for alpha
    -0.07944
  • Upperbound of 95% confidence interval for alpha
    0.28986
  • Treynor index (mean / b)
    22.02640
  • Jensen alpha (a)
    0.10521
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01870
  • Expected Shortfall on VaR
    0.02348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00597
  • Expected Shortfall on VaR
    0.01294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1067.00000
  • Minimum
    0.90981
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10219
  • Mean of quarter 1
    0.99282
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00949
  • Inter Quartile Range
    0.00000
  • Number outliers low
    186.00000
  • Percentage of outliers low
    0.17432
  • Mean of outliers low
    0.98970
  • Number of outliers high
    164.00000
  • Percentage of outliers high
    0.15370
  • Mean of outliers high
    1.01546
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52229
  • VaR(95%) (moments method)
    0.00370
  • Expected Shortfall (moments method)
    0.01102
  • Extreme Value Index (regression method)
    0.14820
  • VaR(95%) (regression method)
    0.00741
  • Expected Shortfall (regression method)
    0.01553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00293
  • Median
    0.03398
  • Quartile 3
    0.12012
  • Maximum
    0.27506
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.01144
  • Mean of quarter 3
    0.06924
  • Mean of quarter 4
    0.18320
  • Inter Quartile Range
    0.11719
  • 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)
    -0.22816
  • VaR(95%) (moments method)
    0.20180
  • Expected Shortfall (moments method)
    0.24452
  • Extreme Value Index (regression method)
    0.59127
  • VaR(95%) (regression method)
    0.22687
  • Expected Shortfall (regression method)
    0.48253
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17794
  • Compounded annual return (geometric extrapolation)
    0.14320
  • Calmar ratio (compounded annual return / max draw down)
    0.52060
  • Compounded annual return / average of 25% largest draw downs
    0.78165
  • Compounded annual return / Expected Shortfall lognormal
    6.09875
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28179
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41122
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19771
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41153
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6863560000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    1039050000000000051046343174520832.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352943000
  • Max Equity Drawdown (num days)
    149
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

Trading System “EarningsTradingQuant”
is an automated trading system that buys stocks the day before earnings releases and keep the trades for just one day. I create this system after quantitative analysis of earnings releases the last five years. To open a position the system takes into consideration the stock’s previous earnings announcement, the market reaction of the previous announcement and the stock price movement the last three months.

Characteristics of the system:
Full automated trading system.
Open the positions at close price the day before earnings releases and close them at the close price the next day.
Takes long positions.
Trade stocks with capitalization over 500 million dollars
Full margin can be used.
Every stock’s position size is maximum $6,000.
-The return target is 7% per month based on the hypothetical performance of 5-year backtesting. Backtesting data is hypothetical and it has not been verified by C2

Suggested minimum investment horizon: 3-6 months

I'm available to answer any questions or concerns

Summary Statistics

Strategy began
2017-09-21
Suggested Minimum Capital
$15,000
# Trades
1612
# Profitable
818
% Profitable
50.7%
Net Dividends
Correlation S&P500
0.007
Sharpe Ratio
0.24
Sortino Ratio
0.40
Beta
0.01
Alpha
0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.