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ALPHA STABILITY
(123413082)

Created by: JFCapital JFCapital
Started: 04/2019
Stocks
Last trade: 27 days ago
Trading style: Equity Hedged Equity

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 $125.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
15.3%
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.

(7.3%)
Max Drawdown
31
Num Trades
51.6%
Win Trades
3.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     (0.5%)+6.2%+9.2%+0.2%+6.8%(6.7%)                  +15.2%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 9 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/19 13:44 GHDX GENOMIC HEALTH LONG 19 71.76 8/19 14:18 73.69 0.03%
Trade id #124772872
Max drawdown($19)
Time8/5/19 15:06
Quant open19
Worst price70.75
Drawdown as % of equity-0.03%
$37
Includes Typical Broker Commissions trade costs of $0.38
7/2/19 13:58 YELP YELP LONG 68 34.16 8/19 14:18 32.98 0.19%
Trade id #124313325
Max drawdown($115)
Time8/14/19 0:00
Quant open68
Worst price32.46
Drawdown as % of equity-0.19%
($81)
Includes Typical Broker Commissions trade costs of $1.36
7/2/19 13:58 ANGI ANGI HOMESVCS LONG 179 12.99 8/8 10:43 9.05 1.38%
Trade id #124313259
Max drawdown($801)
Time7/2/19 13:58
Quant open179
Worst price8.51
Drawdown as % of equity-1.38%
($709)
Includes Typical Broker Commissions trade costs of $3.58
7/2/19 14:00 XNCR XENCOR INC. COMMON STOCK LONG 53 43.64 8/8 10:43 36.68 0.72%
Trade id #124313333
Max drawdown($419)
Time7/2/19 14:00
Quant open53
Worst price35.73
Drawdown as % of equity-0.72%
($370)
Includes Typical Broker Commissions trade costs of $1.06
7/2/19 14:01 KWR QUAKER CHEMICAL LONG 11 204.25 8/5 9:52 161.10 0.8%
Trade id #124313361
Max drawdown($475)
Time8/5/19 9:52
Quant open11
Worst price161.10
Drawdown as % of equity-0.80%
($475)
Includes Typical Broker Commissions trade costs of $0.22
7/2/19 13:23 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 139 266.86 7/2 13:24 266.84 0.01%
Trade id #124312579
Max drawdown($4)
Time7/2/19 13:23
Quant open139
Worst price266.83
Drawdown as % of equity-0.01%
($6)
Includes Typical Broker Commissions trade costs of $2.78
4/24/19 10:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 78 266.59 6/28 15:45 265.49 3.06%
Trade id #123413152
Max drawdown($1,524)
Time4/24/19 10:30
Quant open78
Worst price247.04
Drawdown as % of equity-3.06%
($88)
Includes Typical Broker Commissions trade costs of $1.56
4/24/19 10:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 324 123.34 6/28 15:45 133.01 0.32%
Trade id #123413190
Max drawdown($158)
Time4/24/19 10:31
Quant open324
Worst price122.85
Drawdown as % of equity-0.32%
$3,127
Includes Typical Broker Commissions trade costs of $6.48
4/24/19 10:32 BIV VANGUARD INTERMEDIATE-TERM BON LONG 179 83.69 6/28 15:45 86.53 0.14%
Trade id #123413202
Max drawdown($71)
Time4/24/19 10:32
Quant open179
Worst price83.29
Drawdown as % of equity-0.14%
$504
Includes Typical Broker Commissions trade costs of $3.58
4/24/19 10:33 DBC INVESCO DB COMMODITY INDEX LONG 368 16.30 6/28 15:45 15.71 1.11%
Trade id #123413208
Max drawdown($552)
Time4/24/19 10:33
Quant open368
Worst price14.80
Drawdown as % of equity-1.11%
($224)
Includes Typical Broker Commissions trade costs of $7.36
4/24/19 10:34 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 426 6.98 6/28 15:45 14.96 0.74%
Trade id #123413220
Max drawdown($370)
Time4/24/19 10:34
Quant open426
Worst price6.11
Drawdown as % of equity-0.74%
$3,390
Includes Typical Broker Commissions trade costs of $8.52
4/24/19 10:35 GLD SPDR GOLD SHARES LONG 49 120.32 6/28 15:44 133.11 0.08%
Trade id #123413243
Max drawdown($38)
Time4/24/19 10:35
Quant open49
Worst price119.54
Drawdown as % of equity-0.08%
$626
Includes Typical Broker Commissions trade costs of $0.98
4/24/19 10:36 PEN PENUMBRA INC LONG 15 133.74 6/28 15:44 159.87 0.32%
Trade id #123413257
Max drawdown($159)
Time4/24/19 10:36
Quant open15
Worst price123.13
Drawdown as % of equity-0.32%
$392
Includes Typical Broker Commissions trade costs of $0.30
4/24/19 10:37 GHDX GENOMIC HEALTH LONG 30 65.87 6/28 15:44 57.62 0.91%
Trade id #123413275
Max drawdown($453)
Time4/24/19 10:37
Quant open30
Worst price50.77
Drawdown as % of equity-0.91%
($249)
Includes Typical Broker Commissions trade costs of $0.60
4/24/19 10:38 FIS FIDELITY NATIONAL INFO LONG 17 112.50 6/28 15:44 122.15 0.09%
Trade id #123413309
Max drawdown($43)
Time4/24/19 10:38
Quant open17
Worst price109.96
Drawdown as % of equity-0.09%
$164
Includes Typical Broker Commissions trade costs of $0.34
4/24/19 10:39 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 32 30.83 6/28 15:44 31.66 0.04%
Trade id #123413324
Max drawdown($19)
Time4/24/19 10:39
Quant open32
Worst price30.23
Drawdown as % of equity-0.04%
$26
Includes Typical Broker Commissions trade costs of $0.64
4/26/19 11:42 CMG CHIPOTLE MEXICAN GRILL LONG 3 684.97 6/28 15:43 729.79 0.29%
Trade id #123444250
Max drawdown($144)
Time4/26/19 11:42
Quant open3
Worst price636.73
Drawdown as % of equity-0.29%
$134
Includes Typical Broker Commissions trade costs of $0.06
4/24/19 10:37 GTLS CHART INDUSTRIES LONG 22 88.02 4/26 11:39 87.28 0.09%
Trade id #123413294
Max drawdown($45)
Time4/25/19 11:12
Quant open22
Worst price85.95
Drawdown as % of equity-0.09%
($16)
Includes Typical Broker Commissions trade costs of $0.44

Statistics

  • Strategy began
    4/24/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    144.3
  • Age
    144 days ago
  • What it trades
    Stocks
  • # Trades
    31
  • # Profitable
    16
  • % Profitable
    51.60%
  • Avg trade duration
    55.5 days
  • Max peak-to-valley drawdown
    7.34%
  • drawdown period
    Sept 04, 2019 - Sept 13, 2019
  • Cumul. Return
    15.3%
  • Avg win
    $693.31
  • Avg loss
    $229.67
  • Model Account Values (Raw)
  • Cash
    $1,999
  • Margin Used
    $0
  • Buying Power
    $3,424
  • Ratios
  • W:L ratio
    3.61:1
  • Sharpe Ratio
    2.58
  • Sortino Ratio
    3.83
  • Calmar Ratio
    8.22
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.10510
  • Return Statistics
  • Ann Return (w trading costs)
    42.2%
  • Ann Return (Compnd, No Fees)
    47.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    901
  • Popularity (Last 6 weeks)
    985
  • C2 Score
    897
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $230
  • Avg Win
    $693
  • # Winners
    16
  • # Losers
    15
  • % Winners
    51.6%
  • Frequency
  • Avg Position Time (mins)
    79890.10
  • Avg Position Time (hrs)
    1331.50
  • Avg Trade Length
    55.5 days
  • Last Trade Ago
    27
  • Leverage
  • Daily leverage (average)
    1.96
  • Daily leverage (max)
    2.02
  • Regression
  • Alpha
    0.10
  • Beta
    -0.08
  • Treynor Index
    -1.17
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.320
  • Avg(MAE) / Avg(PL) - Winning trades
    0.318
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.776
  • Hold-and-Hope Ratio
    0.776
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62337
  • SD
    0.17417
  • Sharpe ratio (Glass type estimate)
    3.57917
  • Sharpe ratio (Hedges UMVUE)
    2.58989
  • df
    3.00000
  • t
    2.06643
  • p
    0.06534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.77826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.56718
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.62337
  • Downside part of mean
    0.00000
  • Upside SD
    0.23481
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.10234
  • Mean of criterion
    0.62337
  • SD of predictor
    0.15069
  • SD of criterion
    0.17417
  • Covariance
    0.00525
  • r
    0.20002
  • b (slope, estimate of beta)
    0.23119
  • a (intercept, estimate of alpha)
    0.64703
  • Mean Square Error
    0.04368
  • DF error
    2.00000
  • t(b)
    0.28871
  • p(b)
    0.39999
  • t(a)
    1.74328
  • p(a)
    0.11170
  • Lowerbound of 95% confidence interval for beta
    -3.21415
  • Upperbound of 95% confidence interval for beta
    3.67652
  • Lowerbound of 95% confidence interval for alpha
    -0.94993
  • Upperbound of 95% confidence interval for alpha
    2.24400
  • Treynor index (mean / b)
    2.69643
  • Jensen alpha (a)
    0.64703
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59625
  • SD
    0.16353
  • Sharpe ratio (Glass type estimate)
    3.64624
  • Sharpe ratio (Hedges UMVUE)
    2.63843
  • df
    3.00000
  • t
    2.10516
  • p
    0.06297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.87740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.63608
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.59625
  • Downside part of mean
    0.00000
  • Upside SD
    0.22289
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.11118
  • Mean of criterion
    0.59625
  • SD of predictor
    0.15194
  • SD of criterion
    0.16353
  • Covariance
    0.00450
  • r
    0.18099
  • b (slope, estimate of beta)
    0.19478
  • a (intercept, estimate of alpha)
    0.61791
  • Mean Square Error
    0.03880
  • DF error
    2.00000
  • t(b)
    0.26025
  • p(b)
    0.40951
  • t(a)
    1.75961
  • p(a)
    0.11027
  • Lowerbound of 95% confidence interval for beta
    -3.02552
  • Upperbound of 95% confidence interval for beta
    3.41508
  • Lowerbound of 95% confidence interval for alpha
    -0.89302
  • Upperbound of 95% confidence interval for alpha
    2.12883
  • Treynor index (mean / b)
    3.06112
  • Jensen alpha (a)
    0.61791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02757
  • Expected Shortfall on VaR
    0.04642
  • 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
    4.00000
  • Minimum
    1.00300
  • Quartile 1
    1.02936
  • Median
    1.04566
  • Quartile 3
    1.07057
  • Maximum
    1.12278
  • Mean of quarter 1
    1.00300
  • Mean of quarter 2
    1.03815
  • Mean of quarter 3
    1.05317
  • Mean of quarter 4
    1.12278
  • Inter Quartile Range
    0.04121
  • 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)
    0.69383
  • Compounded annual return (geometric extrapolation)
    0.86667
  • 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
    18.67050
  • 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
    0.39350
  • SD
    0.11162
  • Sharpe ratio (Glass type estimate)
    3.52534
  • Sharpe ratio (Hedges UMVUE)
    3.49910
  • df
    101.00000
  • t
    2.19964
  • p
    0.01506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.69542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.67717
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19156
  • Upside Potential Ratio
    11.90590
  • Upside part of mean
    0.90242
  • Downside part of mean
    -0.50892
  • Upside SD
    0.08475
  • Downside SD
    0.07580
  • N nonnegative terms
    66.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    102.00000
  • Mean of predictor
    0.05210
  • Mean of criterion
    0.39350
  • SD of predictor
    0.14608
  • SD of criterion
    0.11162
  • Covariance
    -0.00157
  • r
    -0.09629
  • b (slope, estimate of beta)
    -0.07358
  • a (intercept, estimate of alpha)
    0.39700
  • Mean Square Error
    0.01247
  • DF error
    100.00000
  • t(b)
    -0.96744
  • p(b)
    0.83217
  • t(a)
    2.21982
  • p(a)
    0.01434
  • Lowerbound of 95% confidence interval for beta
    -0.22447
  • Upperbound of 95% confidence interval for beta
    0.07731
  • Lowerbound of 95% confidence interval for alpha
    0.04221
  • Upperbound of 95% confidence interval for alpha
    0.75245
  • Treynor index (mean / b)
    -5.34802
  • Jensen alpha (a)
    0.39733
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38699
  • SD
    0.11176
  • Sharpe ratio (Glass type estimate)
    3.46269
  • Sharpe ratio (Hedges UMVUE)
    3.43691
  • df
    101.00000
  • t
    2.16054
  • p
    0.01655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61369
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.06857
  • Upside Potential Ratio
    11.77140
  • Upside part of mean
    0.89875
  • Downside part of mean
    -0.51177
  • Upside SD
    0.08432
  • Downside SD
    0.07635
  • N nonnegative terms
    66.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    102.00000
  • Mean of predictor
    0.04147
  • Mean of criterion
    0.38699
  • SD of predictor
    0.14663
  • SD of criterion
    0.11176
  • Covariance
    -0.00158
  • r
    -0.09655
  • b (slope, estimate of beta)
    -0.07359
  • a (intercept, estimate of alpha)
    0.39004
  • Mean Square Error
    0.01250
  • DF error
    100.00000
  • t(b)
    -0.97007
  • p(b)
    0.83282
  • t(a)
    2.17661
  • p(a)
    0.01593
  • Lowerbound of 95% confidence interval for beta
    -0.22410
  • Upperbound of 95% confidence interval for beta
    0.07692
  • Lowerbound of 95% confidence interval for alpha
    0.03452
  • Upperbound of 95% confidence interval for alpha
    0.74556
  • Treynor index (mean / b)
    -5.25849
  • Jensen alpha (a)
    0.39004
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00983
  • Expected Shortfall on VaR
    0.01268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00346
  • Expected Shortfall on VaR
    0.00767
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    102.00000
  • Minimum
    0.98184
  • Quartile 1
    0.99892
  • Median
    1.00220
  • Quartile 3
    1.00601
  • Maximum
    1.01750
  • Mean of quarter 1
    0.99275
  • Mean of quarter 2
    1.00046
  • Mean of quarter 3
    1.00417
  • Mean of quarter 4
    1.00911
  • Inter Quartile Range
    0.00708
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.98318
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00980
  • Mean of outliers high
    1.01750
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14878
  • VaR(95%) (moments method)
    0.00398
  • Expected Shortfall (moments method)
    0.00539
  • Extreme Value Index (regression method)
    -0.60626
  • VaR(95%) (regression method)
    0.00814
  • Expected Shortfall (regression method)
    0.00973
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00393
  • Quartile 1
    0.00578
  • Median
    0.00800
  • Quartile 3
    0.01421
  • Maximum
    0.06256
  • Mean of quarter 1
    0.00474
  • Mean of quarter 2
    0.00738
  • Mean of quarter 3
    0.00829
  • Mean of quarter 4
    0.03421
  • Inter Quartile Range
    0.00844
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.06256
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28222
  • VaR(95%) (moments method)
    0.03691
  • Expected Shortfall (moments method)
    0.04645
  • Extreme Value Index (regression method)
    1.30890
  • VaR(95%) (regression method)
    0.07367
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45028
  • Compounded annual return (geometric extrapolation)
    0.51421
  • Calmar ratio (compounded annual return / max draw down)
    8.21958
  • Compounded annual return / average of 25% largest draw downs
    15.02940
  • Compounded annual return / Expected Shortfall lognormal
    40.55100

Strategy Description

JFCapital
ALPHA STABILITY
We are using a Hedged Equity and Macro Strategy along with our models for equity valuation which are based on the company’s cash flow growth. Our investing process is not entirely based on technical algorithmic rules, but also on a fundamental deep research and analysis.
Our goal is not to outperform the market, but to achieve long term consistent positive returns in all market environments. We are focusing on low market correlation and maximized positive returns.
Each change in our portfolio will be announced one day before it will happen, together with a full elaboration of why the change is being made, our target price and the capital allocation size.
If you have any questions please feel free to contact us, we will respond as fast as we can.
Thank you for your interest.

Summary Statistics

Strategy began
2019-04-24
Suggested Minimum Capital
$15,000
Rank at C2 
#62
# Trades
31
# Profitable
16
% Profitable
51.6%
Net Dividends
Correlation S&P500
-0.105
Sharpe Ratio
2.58
Sortino Ratio
3.83
Beta
-0.08
Alpha
0.10
Leverage
1.96 Average
2.02 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

#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.

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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.