Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $174,000 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Carma ETF
(80519926)

Created by: CarmaAdvisory CarmaAdvisory
Started: 04/2013
Stocks
Last trade: 2,408 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 $50.00 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.

5.9%
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.

(17.3%)
Max Drawdown
223
Num Trades
61.4%
Win Trades
1.6 : 1
Profit Factor
21.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     (1.6%)(4.4%)+5.6%(0.7%)+2.4%+2.0%+1.9%  -  +1.9%+7.0%
2014+0.7%(0.7%)+2.4%+1.9%(0.5%)+1.9%(1.9%)+1.2%(0.7%)  -    -  +2.3%+6.7%
2015+1.4%+1.9%+0.7%(0.4%)(3.3%)+2.1%+6.1%(0.1%)+0.7%(4.7%)(0.6%)+7.5%+11.0%
2016(8.7%)+6.8%(3%)(1%)(0.1%)+1.0%+0.9%(0.3%)(2.3%)+1.5%+3.1%(0.2%)(3%)
2017+1.0%+0.2%+0.4%(0.1%)+1.9%(0.1%)(0.3%)+0.1%(0.3%)(0.1%)(0.1%)  -  +2.5%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 186 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/15/17 10:54 SPY SPDR S&P 500 LONG 460 249.13 9/15 13:55 248.89 0.16%
Trade id #113702603
Max drawdown($110)
Time9/15/17 13:55
Quant open0
Worst price248.89
Drawdown as % of equity-0.16%
 ($119)
Includes Typical Broker Commissions trade costs of $9.20
8/29/17 15:27 SPY SPDR S&P 500 LONG 469 245.10 8/29 15:59 244.85 0.2%
Trade id #113422391
Max drawdown($140)
Time8/29/17 15:59
Quant open469
Worst price244.80
Drawdown as % of equity-0.20%
 ($126)
Includes Typical Broker Commissions trade costs of $9.38
8/25/17 9:55 SPY SPDR S&P 500 LONG 469 245.33 8/25 10:48 244.99 0.28%
Trade id #113339174
Max drawdown($191)
Time8/25/17 10:48
Quant open469
Worst price244.92
Drawdown as % of equity-0.28%
 ($168)
Includes Typical Broker Commissions trade costs of $9.38
8/22/17 10:55 SPY SPDR S&P 500 LONG 470 244.63 8/22 15:59 245.35 0.13%
Trade id #113276916
Max drawdown($89)
Time8/22/17 11:13
Quant open470
Worst price244.44
Drawdown as % of equity-0.13%
 $329
Includes Typical Broker Commissions trade costs of $9.40
8/14/17 10:15 SPY SPDR S&P 500 LONG 469 246.20 8/14 14:49 246.26 0.01%
Trade id #113129457
Max drawdown($4)
Time8/14/17 10:17
Quant open469
Worst price246.19
Drawdown as % of equity-0.01%
 $19
Includes Typical Broker Commissions trade costs of $9.38
8/8/17 10:54 SPY SPDR S&P 500 LONG 463 248.21 8/8 12:47 248.48 0.01%
Trade id #113037315
Max drawdown($4)
Time8/8/17 10:56
Quant open463
Worst price248.20
Drawdown as % of equity-0.01%
 $116
Includes Typical Broker Commissions trade costs of $9.26
7/7/17 14:15 SPY SPDR S&P 500 LONG 474 242.25 7/7 15:59 242.03 0.21%
Trade id #112475203
Max drawdown($146)
Time7/7/17 15:14
Quant open474
Worst price241.94
Drawdown as % of equity-0.21%
 ($112)
Includes Typical Broker Commissions trade costs of $9.48
5/17/17 15:59 SPY SPDR S&P 500 LONG 512 235.77 5/19 15:11 238.21 0.77%
Trade id #111651943
Max drawdown($522)
Time5/18/17 5:58
Quant open512
Worst price234.75
Drawdown as % of equity-0.77%
 $1,244
Includes Typical Broker Commissions trade costs of $5.00
4/24/17 9:55 SPY SPDR S&P 500 LONG 487 236.91 4/24 15:59 237.13 0.22%
Trade id #111226674
Max drawdown($146)
Time4/24/17 11:27
Quant open487
Worst price236.61
Drawdown as % of equity-0.22%
 $96
Includes Typical Broker Commissions trade costs of $9.74
4/20/17 12:05 SPY SPDR S&P 500 LONG 488 235.08 4/20 15:59 235.40 0.01%
Trade id #111159110
Max drawdown($9)
Time4/20/17 12:07
Quant open488
Worst price235.06
Drawdown as % of equity-0.01%
 $146
Includes Typical Broker Commissions trade costs of $9.76
4/10/17 10:30 SPY SPDR S&P 500 LONG 486 236.08 4/10 11:31 235.61 0.33%
Trade id #110878344
Max drawdown($226)
Time4/10/17 11:31
Quant open0
Worst price235.61
Drawdown as % of equity-0.33%
 ($236)
Includes Typical Broker Commissions trade costs of $9.72
3/27/17 15:59 SPY SPDR S&P 500 LONG 515 233.63 3/28 15:59 235.38 0.37%
Trade id #110454320
Max drawdown($251)
Time3/28/17 9:52
Quant open515
Worst price233.14
Drawdown as % of equity-0.37%
 $897
Includes Typical Broker Commissions trade costs of $5.00
3/24/17 15:59 SPY SPDR S&P 500 LONG 515 233.89 3/27 9:35 232.06 1.71%
Trade id #110429354
Max drawdown($1,165)
Time3/27/17 9:31
Quant open515
Worst price231.63
Drawdown as % of equity-1.71%
 ($949)
Includes Typical Broker Commissions trade costs of $5.00
3/23/17 15:59 SPY SPDR S&P 500 LONG 514 234.13 3/24 12:21 234.18 0.35%
Trade id #110409026
Max drawdown($236)
Time3/23/17 16:01
Quant open514
Worst price233.67
Drawdown as % of equity-0.35%
 $21
Includes Typical Broker Commissions trade costs of $5.00
3/21/17 15:59 SPY SPDR S&P 500 LONG 515 233.80 3/23 13:12 234.61 0.57%
Trade id #110363645
Max drawdown($384)
Time3/22/17 10:32
Quant open515
Worst price233.05
Drawdown as % of equity-0.57%
 $414
Includes Typical Broker Commissions trade costs of $5.00
2/9/17 10:27 SPY SPDR S&P 500 LONG 499 230.20 2/9 15:59 230.65 0.07%
Trade id #109424847
Max drawdown($49)
Time2/9/17 10:29
Quant open499
Worst price230.10
Drawdown as % of equity-0.07%
 $215
Includes Typical Broker Commissions trade costs of $9.98
12/30/16 15:59 SPY SPDR S&P 500 LONG 539 223.47 1/3/17 10:57 224.75 0.23%
Trade id #108278329
Max drawdown($156)
Time12/30/16 16:17
Quant open539
Worst price223.18
Drawdown as % of equity-0.23%
 $685
Includes Typical Broker Commissions trade costs of $5.00
11/9/16 11:35 SPY SPDR S&P 500 LONG 533 215.75 11/9 15:59 216.28 0.7%
Trade id #107039366
Max drawdown($467)
Time11/9/16 12:50
Quant open533
Worst price214.87
Drawdown as % of equity-0.70%
 $280
Includes Typical Broker Commissions trade costs of $5.00
11/4/16 15:59 SPY SPDR S&P 500 LONG 578 208.57 11/7 15:59 213.12 0.41%
Trade id #106938662
Max drawdown($263)
Time11/4/16 17:58
Quant open578
Worst price208.11
Drawdown as % of equity-0.41%
 $2,629
Includes Typical Broker Commissions trade costs of $5.00
11/3/16 15:59 SPY SPDR S&P 500 LONG 578 208.91 11/4 15:00 209.09 0.48%
Trade id #106907247
Max drawdown($305)
Time11/4/16 10:00
Quant open578
Worst price208.38
Drawdown as % of equity-0.48%
 $101
Includes Typical Broker Commissions trade costs of $5.00
11/2/16 15:59 SPY SPDR S&P 500 LONG 575 209.86 11/3 12:37 209.27 0.72%
Trade id #106875511
Max drawdown($460)
Time11/2/16 17:44
Quant open575
Worst price209.06
Drawdown as % of equity-0.72%
 ($345)
Includes Typical Broker Commissions trade costs of $5.00
11/1/16 15:59 SPY SPDR S&P 500 LONG 572 211.09 11/2 13:11 209.95 1.01%
Trade id #106839730
Max drawdown($650)
Time11/2/16 13:11
Quant open0
Worst price209.95
Drawdown as % of equity-1.01%
 ($655)
Includes Typical Broker Commissions trade costs of $5.00
10/28/16 15:59 SPY SPDR S&P 500 LONG 567 212.49 11/1 9:41 212.53 0.33%
Trade id #106752013
Max drawdown($213)
Time10/28/16 16:16
Quant open567
Worst price212.11
Drawdown as % of equity-0.33%
 $20
Includes Typical Broker Commissions trade costs of $5.00
10/24/16 9:55 SPY SPDR S&P 500 LONG 534 215.20 10/24 12:26 214.74 0.42%
Trade id #106617355
Max drawdown($267)
Time10/24/16 10:45
Quant open534
Worst price214.70
Drawdown as % of equity-0.42%
 ($251)
Includes Typical Broker Commissions trade costs of $5.00
10/19/16 10:49 SPY SPDR S&P 500 LONG 535 214.44 10/19 15:50 214.34 0.23%
Trade id #106538667
Max drawdown($149)
Time10/19/16 11:26
Quant open535
Worst price214.16
Drawdown as % of equity-0.23%
 ($59)
Includes Typical Broker Commissions trade costs of $5.00
10/17/16 15:59 SPY SPDR S&P 500 LONG 1,104 213.01 10/18 15:59 213.67 n/a $715
Includes Typical Broker Commissions trade costs of $10.00
10/13/16 15:59 SPY SPDR S&P 500 LONG 566 213.00 10/14 11:30 213.49 0.45%
Trade id #106441672
Max drawdown($285)
Time10/13/16 16:23
Quant open539
Worst price212.40
Drawdown as % of equity-0.45%
 $272
Includes Typical Broker Commissions trade costs of $5.27
10/10/16 10:00 SPY SPDR S&P 500 LONG 530 216.64 10/10 12:25 216.08 0.46%
Trade id #106331283
Max drawdown($296)
Time10/10/16 12:25
Quant open0
Worst price216.08
Drawdown as % of equity-0.46%
 ($301)
Includes Typical Broker Commissions trade costs of $5.00
9/30/16 15:16 SPY SPDR S&P 500 LONG 528 217.05 9/30 15:55 216.70 0.29%
Trade id #106169457
Max drawdown($185)
Time9/30/16 15:55
Quant open0
Worst price216.70
Drawdown as % of equity-0.29%
 ($190)
Includes Typical Broker Commissions trade costs of $5.00
9/27/16 14:15 SPY SPDR S&P 500 LONG 532 215.49 9/27 15:59 215.47 0.27%
Trade id #106101870
Max drawdown($170)
Time9/27/16 15:32
Quant open532
Worst price215.17
Drawdown as % of equity-0.27%
 ($15)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/26/2013
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4006.03
  • Age
    134 months ago
  • What it trades
    Stocks
  • # Trades
    223
  • # Profitable
    137
  • % Profitable
    61.40%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    17.28%
  • drawdown period
    Jan 05, 2016 - Jan 20, 2016
  • Annual Return (Compounded)
    5.9%
  • Avg win
    $383.94
  • Avg loss
    $398.12
  • Model Account Values (Raw)
  • Cash
    $69,342
  • Margin Used
    $0
  • Buying Power
    $69,342
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.07
  • Calmar Ratio
    0.431
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.30%
  • Correlation to SP500
    0.14770
  • Return Percent SP500 (cumu) during strategy life
    214.96%
  • Return Statistics
  • Ann Return (w trading costs)
    5.9%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.059%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    5.45%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    643
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    281
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $398
  • Avg Win
    $384
  • Sum Trade PL (losers)
    $34,238.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $52,600.000
  • # Winners
    137
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    981
  • Win / Loss
  • # Losers
    86
  • % Winners
    61.4%
  • Frequency
  • Avg Position Time (mins)
    7715.27
  • Avg Position Time (hrs)
    128.59
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    2402
  • Regression
  • Alpha
    -0.00
  • Beta
    0.06
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    96.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.032
  • 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
    0.733
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.714
  • Hold-and-Hope Ratio
    0.166
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04817
  • SD
    0.07198
  • Sharpe ratio (Glass type estimate)
    0.66924
  • Sharpe ratio (Hedges UMVUE)
    0.65954
  • df
    52.00000
  • t
    1.40647
  • p
    0.08277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60073
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13506
  • Upside Potential Ratio
    2.66440
  • Upside part of mean
    0.11307
  • Downside part of mean
    -0.06490
  • Upside SD
    0.05895
  • Downside SD
    0.04244
  • N nonnegative terms
    28.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.08801
  • Mean of criterion
    0.04817
  • SD of predictor
    0.10238
  • SD of criterion
    0.07198
  • Covariance
    -0.00221
  • r
    -0.29970
  • b (slope, estimate of beta)
    -0.21070
  • a (intercept, estimate of alpha)
    0.06671
  • Mean Square Error
    0.00481
  • DF error
    51.00000
  • t(b)
    -2.24340
  • p(b)
    0.98538
  • t(a)
    1.96142
  • p(a)
    0.02765
  • Lowerbound of 95% confidence interval for beta
    -0.39925
  • Upperbound of 95% confidence interval for beta
    -0.02215
  • Lowerbound of 95% confidence interval for alpha
    -0.00157
  • Upperbound of 95% confidence interval for alpha
    0.13500
  • Treynor index (mean / b)
    -0.22862
  • Jensen alpha (a)
    0.06671
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04545
  • SD
    0.07149
  • Sharpe ratio (Glass type estimate)
    0.63584
  • Sharpe ratio (Hedges UMVUE)
    0.62662
  • df
    52.00000
  • t
    1.33627
  • p
    0.09364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56698
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05373
  • Upside Potential Ratio
    2.57609
  • Upside part of mean
    0.11112
  • Downside part of mean
    -0.06567
  • Upside SD
    0.05767
  • Downside SD
    0.04314
  • N nonnegative terms
    28.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.08238
  • Mean of criterion
    0.04545
  • SD of predictor
    0.10236
  • SD of criterion
    0.07149
  • Covariance
    -0.00216
  • r
    -0.29542
  • b (slope, estimate of beta)
    -0.20633
  • a (intercept, estimate of alpha)
    0.06245
  • Mean Square Error
    0.00476
  • DF error
    51.00000
  • t(b)
    -2.20827
  • p(b)
    0.98413
  • t(a)
    1.85286
  • p(a)
    0.03485
  • Lowerbound of 95% confidence interval for beta
    -0.39390
  • Upperbound of 95% confidence interval for beta
    -0.01875
  • Lowerbound of 95% confidence interval for alpha
    -0.00522
  • Upperbound of 95% confidence interval for alpha
    0.13012
  • Treynor index (mean / b)
    -0.22030
  • Jensen alpha (a)
    0.06245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02971
  • Expected Shortfall on VaR
    0.03801
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01188
  • Expected Shortfall on VaR
    0.02454
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.95489
  • Quartile 1
    0.99785
  • Median
    1.00334
  • Quartile 3
    1.02002
  • Maximum
    1.06162
  • Mean of quarter 1
    0.98349
  • Mean of quarter 2
    1.00065
  • Mean of quarter 3
    1.01079
  • Mean of quarter 4
    1.03219
  • Inter Quartile Range
    0.02217
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.95582
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01887
  • Mean of outliers high
    1.06162
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71873
  • VaR(95%) (moments method)
    0.01291
  • Expected Shortfall (moments method)
    0.05329
  • Extreme Value Index (regression method)
    -0.21947
  • VaR(95%) (regression method)
    0.01804
  • Expected Shortfall (regression method)
    0.02462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00149
  • Quartile 1
    0.00294
  • Median
    0.01125
  • Quartile 3
    0.03235
  • Maximum
    0.04562
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.01003
  • Mean of quarter 3
    0.03078
  • Mean of quarter 4
    0.04443
  • Inter Quartile Range
    0.02941
  • 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)
    -69.38430
  • VaR(95%) (moments method)
    0.04275
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.19636
  • VaR(95%) (regression method)
    0.05719
  • Expected Shortfall (regression method)
    0.05725
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08664
  • Compounded annual return (geometric extrapolation)
    0.07612
  • Calmar ratio (compounded annual return / max draw down)
    1.66843
  • Compounded annual return / average of 25% largest draw downs
    1.71307
  • Compounded annual return / Expected Shortfall lognormal
    2.00267
  • 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
    0.04864
  • SD
    0.09345
  • Sharpe ratio (Glass type estimate)
    0.52048
  • Sharpe ratio (Hedges UMVUE)
    0.52014
  • df
    1175.00000
  • t
    1.10269
  • p
    0.47953
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40521
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44550
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79116
  • Upside Potential Ratio
    5.70454
  • Upside part of mean
    0.35070
  • Downside part of mean
    -0.30206
  • Upside SD
    0.07039
  • Downside SD
    0.06148
  • N nonnegative terms
    349.00000
  • N negative terms
    827.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.08706
  • Mean of criterion
    0.04864
  • SD of predictor
    0.12118
  • SD of criterion
    0.09345
  • Covariance
    0.00336
  • r
    0.29674
  • b (slope, estimate of beta)
    0.22884
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.00797
  • DF error
    1174.00000
  • t(b)
    10.64720
  • p(b)
    0.35163
  • t(a)
    0.68077
  • p(a)
    0.49007
  • Lowerbound of 95% confidence interval for beta
    0.18667
  • Upperbound of 95% confidence interval for beta
    0.27101
  • Lowerbound of 95% confidence interval for alpha
    -0.05404
  • Upperbound of 95% confidence interval for alpha
    0.11148
  • Treynor index (mean / b)
    0.21255
  • Jensen alpha (a)
    0.02872
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04428
  • SD
    0.09326
  • Sharpe ratio (Glass type estimate)
    0.47478
  • Sharpe ratio (Hedges UMVUE)
    0.47448
  • df
    1175.00000
  • t
    1.00588
  • p
    0.48133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39979
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71244
  • Upside Potential Ratio
    5.60288
  • Upside part of mean
    0.34823
  • Downside part of mean
    -0.30395
  • Upside SD
    0.06953
  • Downside SD
    0.06215
  • N nonnegative terms
    349.00000
  • N negative terms
    827.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1176.00000
  • Mean of predictor
    0.07969
  • Mean of criterion
    0.04428
  • SD of predictor
    0.12131
  • SD of criterion
    0.09326
  • Covariance
    0.00336
  • r
    0.29671
  • b (slope, estimate of beta)
    0.22811
  • a (intercept, estimate of alpha)
    0.02610
  • Mean Square Error
    0.00794
  • DF error
    1174.00000
  • t(b)
    10.64570
  • p(b)
    0.35165
  • t(a)
    0.62009
  • p(a)
    0.49095
  • Lowerbound of 95% confidence interval for beta
    0.18607
  • Upperbound of 95% confidence interval for beta
    0.27015
  • Lowerbound of 95% confidence interval for alpha
    -0.05648
  • Upperbound of 95% confidence interval for alpha
    0.10868
  • Treynor index (mean / b)
    0.19411
  • Jensen alpha (a)
    0.02610
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00927
  • Expected Shortfall on VaR
    0.01165
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00322
  • Expected Shortfall on VaR
    0.00700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1176.00000
  • Minimum
    0.95509
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00056
  • Maximum
    1.05016
  • Mean of quarter 1
    0.99569
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00006
  • Mean of quarter 4
    1.00542
  • Inter Quartile Range
    0.00056
  • Number outliers low
    200.00000
  • Percentage of outliers low
    0.17007
  • Mean of outliers low
    0.99385
  • Number of outliers high
    212.00000
  • Percentage of outliers high
    0.18027
  • Mean of outliers high
    1.00716
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65779
  • VaR(95%) (moments method)
    0.00349
  • Expected Shortfall (moments method)
    0.01248
  • Extreme Value Index (regression method)
    0.17846
  • VaR(95%) (regression method)
    0.00409
  • Expected Shortfall (regression method)
    0.00767
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00137
  • Median
    0.00330
  • Quartile 3
    0.02037
  • Maximum
    0.14354
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00230
  • Mean of quarter 3
    0.00805
  • Mean of quarter 4
    0.05732
  • Inter Quartile Range
    0.01900
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.08899
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.43531
  • VaR(95%) (moments method)
    0.05434
  • Expected Shortfall (moments method)
    0.06442
  • Extreme Value Index (regression method)
    0.29973
  • VaR(95%) (regression method)
    0.07039
  • Expected Shortfall (regression method)
    0.12369
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08525
  • Compounded annual return (geometric extrapolation)
    0.07486
  • Calmar ratio (compounded annual return / max draw down)
    0.52151
  • Compounded annual return / average of 25% largest draw downs
    1.30599
  • Compounded annual return / Expected Shortfall lognormal
    6.42798
  • 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
    0.00766
  • SD
    0.02002
  • Sharpe ratio (Glass type estimate)
    0.38283
  • Sharpe ratio (Hedges UMVUE)
    0.38061
  • df
    130.00000
  • t
    0.27070
  • p
    0.48813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15281
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63358
  • Upside Potential Ratio
    10.64790
  • Upside part of mean
    0.04996
  • Downside part of mean
    -0.04230
  • Upside SD
    0.01939
  • Downside SD
    0.00469
  • N nonnegative terms
    8.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14303
  • Mean of criterion
    0.00766
  • SD of predictor
    0.06450
  • SD of criterion
    0.02002
  • Covariance
    0.00021
  • r
    0.16265
  • b (slope, estimate of beta)
    0.05049
  • a (intercept, estimate of alpha)
    0.00044
  • Mean Square Error
    0.00039
  • DF error
    129.00000
  • t(b)
    1.87223
  • p(b)
    0.39692
  • t(a)
    0.01566
  • p(a)
    0.49912
  • Lowerbound of 95% confidence interval for beta
    -0.00287
  • Upperbound of 95% confidence interval for beta
    0.10385
  • Lowerbound of 95% confidence interval for alpha
    -0.05557
  • Upperbound of 95% confidence interval for alpha
    0.05646
  • Treynor index (mean / b)
    0.15181
  • Jensen alpha (a)
    0.00044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00747
  • SD
    0.01992
  • Sharpe ratio (Glass type estimate)
    0.37482
  • Sharpe ratio (Hedges UMVUE)
    0.37265
  • df
    130.00000
  • t
    0.26504
  • p
    0.48838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14483
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59062
  • Upside Potential Ratio
    10.60260
  • Upside part of mean
    0.04977
  • Downside part of mean
    -0.04230
  • Upside SD
    0.01929
  • Downside SD
    0.00469
  • N nonnegative terms
    8.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14091
  • Mean of criterion
    0.00747
  • SD of predictor
    0.06455
  • SD of criterion
    0.01992
  • Covariance
    0.00021
  • r
    0.16196
  • b (slope, estimate of beta)
    0.04998
  • a (intercept, estimate of alpha)
    0.00042
  • Mean Square Error
    0.00039
  • DF error
    129.00000
  • t(b)
    1.86417
  • p(b)
    0.39734
  • t(a)
    0.01504
  • p(a)
    0.49916
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.00307
  • Upperbound of 95% confidence interval for beta
    0.10303
  • Lowerbound of 95% confidence interval for alpha
    -0.05529
  • Upperbound of 95% confidence interval for alpha
    0.05614
  • Treynor index (mean / b)
    0.14938
  • Jensen alpha (a)
    0.00042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00199
  • Expected Shortfall on VaR
    0.00251
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00053
  • Expected Shortfall on VaR
    0.00089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99851
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01246
  • Mean of quarter 1
    0.99976
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00078
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99911
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00323
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01540
  • VaR(95%) (moments method)
    0.00084
  • Expected Shortfall (moments method)
    0.00102
  • Extreme Value Index (regression method)
    1.01594
  • VaR(95%) (regression method)
    0.00092
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00101
  • Quartile 1
    0.00125
  • Median
    0.00149
  • Quartile 3
    0.00351
  • Maximum
    0.00554
  • Mean of quarter 1
    0.00101
  • Mean of quarter 2
    0.00149
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00554
  • Inter Quartile Range
    0.00226
  • 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
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03569
  • Compounded annual return (geometric extrapolation)
    0.03601
  • Calmar ratio (compounded annual return / max draw down)
    6.50439
  • Compounded annual return / average of 25% largest draw downs
    6.50439
  • Compounded annual return / Expected Shortfall lognormal
    14.36370

Strategy Description

Carma ETF is 100% mechanical trading system that trades exclusively S&P 500 ETF on both side, long and short. The system is a combination of two different trading styles: trend following and mean reversion.

Carma ETF does not trade very often and has a high winning percentage. Max leverage is 2 but usually <= 1. Once a position is entered precise rules establish the exit point.

Orders can be sent during regular trading hours and autotrading is suggested.

In the beginning stage Carma ETF traded also other geographical and sector ETF. Currently Carma ETF trades only SPY.

Backtesting results available for subscribers.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-04-26
Suggested Minimum Capital
$15,000
# Trades
223
# Profitable
137
% Profitable
61.4%
Net Dividends
$980
Correlation S&P500
0.148
Sharpe Ratio
0.05
Sortino Ratio
0.07
Beta
0.06
Alpha
-0.00

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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