JC Market Neutral
(127411394)
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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  +0.6%  +7.3%  +2.5%  +2.3%  +1.5%  +0.3%  +15.4% 
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.
Started  $100,000  
Buy Power  $27,607  
Cash  $105,591  
Equity  $9,588  
Cumulative $  $16,012  
Includes dividends and cashsettled expirations:  ($69)  Itemized 
Total System Equity  $116,012  
Margined  $87,571  
Open P/L  $9,588 
Trading Record
Statistics

Strategy began2/7/2020

Suggested Minimum Cap$15,000

Strategy Age (days)149.33

Age149 days ago

What it tradesStocks

# Trades80

# Profitable55

% Profitable68.80%

Avg trade duration36.1 days

Max peaktovalley drawdown2.58%

drawdown periodMay 21, 2020  May 27, 2020

Cumul. Return15.4%

Avg win$477.87

Avg loss$406.88
 Model Account Values (Raw)

Cash$105,591

Margin Used$87,571

Buying Power$27,607
 Ratios

W:L ratio2.70:1

Sharpe Ratio3.32

Sortino Ratio5.83

Calmar Ratio29.508
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)21.33%

Correlation to SP5000.17120

Return Percent SP500 (cumu) during strategy life5.94%
 Return Statistics

Ann Return (w trading costs)40.8%
 Slump

Current Slump as Pcnt Equity0.00%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.04%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.154%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)43.4%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)850

Popularity (Last 6 weeks)928
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score947

Popularity (7 days, Percentile 1000 scale)868
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$544

Avg Win$539

Sum Trade PL (losers)$13,591.000
 AUM

AUM (AutoTrader num accounts)2
 Age

Num Months filled monthly returns table6
 Win / Loss

Sum Trade PL (winners)$29,671.000

# Winners55

Num Months Winners6
 Dividends

Dividends Received in Model Acct69
 AUM

AUM (AutoTrader live capital)173798
 Win / Loss

# Losers25

% Winners68.8%
 Frequency

Avg Position Time (mins)51909.40

Avg Position Time (hrs)865.16

Avg Trade Length36.0 days

Last Trade Ago3
 Leverage

Daily leverage (average)1.61

Daily leverage (max)2.36
 Regression

Alpha0.09

Beta0.03

Treynor Index3.22
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.51

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades25.629

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades1.120

Avg(MAE) / Avg(PL)  Losing trades1.290

HoldandHope Ratio0.264
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.33426

SD0.10504

Sharpe ratio (Glass type estimate)3.18234

Sharpe ratio (Hedges UMVUE)2.30275

df3.00000

t1.83733

p0.08174

Lowerbound of 95% confidence interval for Sharpe Ratio1.14149

Upperbound of 95% confidence interval for Sharpe Ratio7.20078

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55981

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.16530
 Statistics related to Sortino ratio

Sortino ratio130.67200

Upside Potential Ratio132.40400

Upside part of mean0.33869

Downside part of mean0.00443

Upside SD0.13259

Downside SD0.00256

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.09120

Mean of criterion0.33426

SD of predictor0.34817

SD of criterion0.10504

Covariance0.00477

r0.13048

b (slope, estimate of beta)0.03936

a (intercept, estimate of alpha)0.33067

Mean Square Error0.01627

DF error2.00000

t(b)0.18612

p(b)0.56524

t(a)1.49118

p(a)0.13721

Lowerbound of 95% confidence interval for beta0.94937

Upperbound of 95% confidence interval for beta0.87064

Lowerbound of 95% confidence interval for alpha0.62345

Upperbound of 95% confidence interval for alpha1.28479

Treynor index (mean / b)8.49136

Jensen alpha (a)0.33067
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.32506

SD0.10150

Sharpe ratio (Glass type estimate)3.20270

Sharpe ratio (Hedges UMVUE)2.31748

df3.00000

t1.84908

p0.08079

Lowerbound of 95% confidence interval for Sharpe Ratio1.13032

Upperbound of 95% confidence interval for Sharpe Ratio7.23001

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55071

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.18567
 Statistics related to Sortino ratio

Sortino ratio127.27700

Upside Potential Ratio129.00900

Upside part of mean0.32948

Downside part of mean0.00442

Upside SD0.12855

Downside SD0.00255

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.13858

Mean of criterion0.32506

SD of predictor0.35747

SD of criterion0.10150

Covariance0.00361

r0.09957

b (slope, estimate of beta)0.02827

a (intercept, estimate of alpha)0.32114

Mean Square Error0.01530

DF error2.00000

t(b)0.14152

p(b)0.54978

t(a)1.48666

p(a)0.13773

Lowerbound of 95% confidence interval for beta0.88782

Upperbound of 95% confidence interval for beta0.83128

Lowerbound of 95% confidence interval for alpha0.60830

Upperbound of 95% confidence interval for alpha1.25059

Treynor index (mean / b)11.49790

Jensen alpha (a)0.32114
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02088

Expected Shortfall on VaR0.03274
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00052

Expected Shortfall on VaR0.00116
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum1.00085

Quartile 11.00941

Median1.02545

Quartile 31.04622

Maximum1.06898

Mean of quarter 11.00085

Mean of quarter 21.01227

Mean of quarter 31.03863

Mean of quarter 41.06898

Inter Quartile Range0.03681

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.37457

Compounded annual return (geometric extrapolation)0.42329

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal12.92840

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.34859

SD0.07757

Sharpe ratio (Glass type estimate)4.49394

Sharpe ratio (Hedges UMVUE)4.46145

df104.00000

t2.84493

p0.36565

Lowerbound of 95% confidence interval for Sharpe Ratio1.32805

Upperbound of 95% confidence interval for Sharpe Ratio7.63919

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30662

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.61628
 Statistics related to Sortino ratio

Sortino ratio8.00761

Upside Potential Ratio15.37790

Upside part of mean0.66943

Downside part of mean0.32084

Upside SD0.06729

Downside SD0.04353

N nonnegative terms67.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations105.00000

Mean of predictor0.05082

Mean of criterion0.34859

SD of predictor0.50968

SD of criterion0.07757

Covariance0.00473

r0.11962

b (slope, estimate of beta)0.01820

a (intercept, estimate of alpha)0.34800

Mean Square Error0.00599

DF error103.00000

t(b)1.22275

p(b)0.57597

t(a)2.84407

p(a)0.33032

Lowerbound of 95% confidence interval for beta0.04773

Upperbound of 95% confidence interval for beta0.01132

Lowerbound of 95% confidence interval for alpha0.10523

Upperbound of 95% confidence interval for alpha0.59010

Treynor index (mean / b)19.14860

Jensen alpha (a)0.34766
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.34535

SD0.07743

Sharpe ratio (Glass type estimate)4.45991

Sharpe ratio (Hedges UMVUE)4.42767

df104.00000

t2.82339

p0.36659

Lowerbound of 95% confidence interval for Sharpe Ratio1.29500

Upperbound of 95% confidence interval for Sharpe Ratio7.60427

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.27372

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.58162
 Statistics related to Sortino ratio

Sortino ratio7.90292

Upside Potential Ratio15.26610

Upside part of mean0.66711

Downside part of mean0.32176

Upside SD0.06697

Downside SD0.04370

N nonnegative terms67.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations105.00000

Mean of predictor0.18074

Mean of criterion0.34535

SD of predictor0.51359

SD of criterion0.07743

Covariance0.00508

r0.12770

b (slope, estimate of beta)0.01925

a (intercept, estimate of alpha)0.34187

Mean Square Error0.00596

DF error103.00000

t(b)1.30670

p(b)0.58107

t(a)2.80376

p(a)0.33250

Lowerbound of 95% confidence interval for beta0.04848

Upperbound of 95% confidence interval for beta0.00997

Lowerbound of 95% confidence interval for alpha0.10004

Upperbound of 95% confidence interval for alpha0.58369

Treynor index (mean / b)17.93720

Jensen alpha (a)0.34187
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00653

Expected Shortfall on VaR0.00851
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00225

Expected Shortfall on VaR0.00480
 ORDER STATISTICS
 Quartiles of return rates

Number of observations105.00000

Minimum0.98913

Quartile 10.99871

Median1.00132

Quartile 31.00415

Maximum1.01702

Mean of quarter 10.99570

Mean of quarter 21.00017

Mean of quarter 31.00286

Mean of quarter 41.00724

Inter Quartile Range0.00544

Number outliers low3.00000

Percentage of outliers low0.02857

Mean of outliers low0.98962

Number of outliers high2.00000

Percentage of outliers high0.01905

Mean of outliers high1.01652
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.19889

VaR(95%) (moments method)0.00379

Expected Shortfall (moments method)0.00606

Extreme Value Index (regression method)0.06109

VaR(95%) (regression method)0.00427

Expected Shortfall (regression method)0.00590
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations19.00000

Minimum0.00032

Quartile 10.00114

Median0.00674

Quartile 30.01016

Maximum0.01533

Mean of quarter 10.00075

Mean of quarter 20.00273

Mean of quarter 30.00885

Mean of quarter 40.01356

Inter Quartile Range0.00902

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)27.42970

VaR(95%) (moments method)0.01386

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.10579

VaR(95%) (regression method)0.01298

Expected Shortfall (regression method)0.01325
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.40262

Compounded annual return (geometric extrapolation)0.45246

Calmar ratio (compounded annual return / max draw down)29.50840

Compounded annual return / average of 25% largest draw downs33.36180

Compounded annual return / Expected Shortfall lognormal53.15730
 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 Negativen/a

Strat Max DD how much worse than SP500 max DD during strat life?298274000

Max Equity Drawdown (num days)6
Strategy Description
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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.