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Carma Dynamic
(106183568)

Created by: CarmaAdvisory CarmaAdvisory
Started: 10/2016
Stocks
Last trade: 3 days ago
Trading style: Equity Momentum Short-term Reversal

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 $99.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
6.2%
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.

(17.5%)
Max Drawdown
474
Num Trades
61.8%
Win Trades
1.2 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (1.2%)+5.0%+0.6%+4.4%
2017+10.5%+3.8%+2.9%+0.4%(8.2%)+2.0%+0.5%+1.6%+0.6%(1.6%)+1.7%+5.4%+20.1%
2018(1.7%)(11.5%)+5.7%+2.3%(1.2%)(4.7%)+5.4%+2.3%+3.0%(2.1%)+0.6%+1.3%(2%)
2019+1.2%(1.2%)+2.3%+5.0%(15.5%)+5.4%                                    (4.3%)

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 212 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/13/19 9:35 SPY SPDR S&P 500 LONG 400 289.43 6/13 10:07 289.16 0.09%
Trade id #124064920
Max drawdown($108)
Time6/13/19 10:07
Quant open0
Worst price289.16
Drawdown as % of equity-0.09%
($116)
Includes Typical Broker Commissions trade costs of $8.00
6/7/19 10:01 SPY SPDR S&P 500 LONG 400 287.17 6/7 14:49 287.80 0.05%
Trade id #123978068
Max drawdown($68)
Time6/7/19 10:23
Quant open400
Worst price287.00
Drawdown as % of equity-0.05%
$244
Includes Typical Broker Commissions trade costs of $8.00
5/15/19 9:31 WAT WATERS LONG 116 208.72 6/5 9:39 205.22 0.94%
Trade id #123677769
Max drawdown($1,114)
Time6/3/19 15:54
Quant open116
Worst price199.11
Drawdown as % of equity-0.94%
($408)
Includes Typical Broker Commissions trade costs of $2.32
6/4/19 10:35 SPY SPDR S&P 500 LONG 400 278.16 6/4 16:00 280.53 0.23%
Trade id #123932459
Max drawdown($284)
Time6/4/19 10:47
Quant open400
Worst price277.45
Drawdown as % of equity-0.23%
$940
Includes Typical Broker Commissions trade costs of $8.00
6/3/19 12:12 LRCX LAM RESEARCH LONG 127 174.52 6/4 14:03 179.33 0.37%
Trade id #123915589
Max drawdown($441)
Time6/3/19 15:33
Quant open127
Worst price171.04
Drawdown as % of equity-0.37%
$608
Includes Typical Broker Commissions trade costs of $2.54
5/24/19 15:15 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 88 258.17 6/4 11:27 263.33 0.59%
Trade id #123817926
Max drawdown($711)
Time5/28/19 10:18
Quant open88
Worst price250.09
Drawdown as % of equity-0.59%
$452
Includes Typical Broker Commissions trade costs of $1.76
5/30/19 15:22 COTY COTY INC LONG 3,635 12.49 6/4 9:30 13.09 0.92%
Trade id #123879926
Max drawdown($1,090)
Time5/31/19 10:36
Quant open3,635
Worst price12.19
Drawdown as % of equity-0.92%
$2,174
Includes Typical Broker Commissions trade costs of $7.50
5/31/19 9:35 SPY SPDR S&P 500 SHORT 400 275.75 5/31 11:21 276.87 0.38%
Trade id #123887411
Max drawdown($448)
Time5/31/19 11:21
Quant open0
Worst price276.87
Drawdown as % of equity-0.38%
($456)
Includes Typical Broker Commissions trade costs of $8.00
5/20/19 9:30 QCOM QUALCOMM LONG 290 77.95 5/31 9:30 65.78 3.23%
Trade id #123736231
Max drawdown($3,871)
Time5/31/19 6:17
Quant open290
Worst price64.60
Drawdown as % of equity-3.23%
($3,535)
Includes Typical Broker Commissions trade costs of $5.80
5/23/19 9:35 SPY SPDR S&P 500 SHORT 400 282.61 5/23 15:21 281.85 0.09%
Trade id #123793436
Max drawdown($108)
Time5/23/19 10:56
Quant open-400
Worst price282.88
Drawdown as % of equity-0.09%
$296
Includes Typical Broker Commissions trade costs of $8.00
5/2/19 13:55 PVH PVH LONG 199 128.27 5/22 9:30 109.55 3.74%
Trade id #123511265
Max drawdown($4,485)
Time5/20/19 15:51
Quant open199
Worst price105.73
Drawdown as % of equity-3.74%
($3,729)
Includes Typical Broker Commissions trade costs of $3.98
5/21/19 10:15 SPY SPDR S&P 500 LONG 400 285.68 5/21 15:59 286.53 n/a $332
Includes Typical Broker Commissions trade costs of $8.00
5/17/19 9:30 XLNX XILINX LONG 223 104.66 5/21 10:48 105.08 1.29%
Trade id #123708677
Max drawdown($1,556)
Time5/20/19 10:05
Quant open223
Worst price97.68
Drawdown as % of equity-1.29%
$90
Includes Typical Broker Commissions trade costs of $4.46
5/20/19 9:30 ADI ANALOG DEVICES LONG 232 97.74 5/21 9:31 101.42 0.2%
Trade id #123736114
Max drawdown($237)
Time5/20/19 15:16
Quant open232
Worst price96.72
Drawdown as % of equity-0.20%
$849
Includes Typical Broker Commissions trade costs of $4.64
5/20/19 9:36 SPY SPDR S&P 500 SHORT 400 283.81 5/20 10:23 284.85 0.35%
Trade id #123736527
Max drawdown($416)
Time5/20/19 10:23
Quant open0
Worst price284.85
Drawdown as % of equity-0.35%
($424)
Includes Typical Broker Commissions trade costs of $8.00
5/10/19 9:30 WYNN WYNN RESORTS LONG 186 129.34 5/17 9:30 125.27 1.3%
Trade id #123615680
Max drawdown($1,594)
Time5/13/19 11:34
Quant open186
Worst price120.77
Drawdown as % of equity-1.30%
($761)
Includes Typical Broker Commissions trade costs of $3.72
5/2/19 10:24 GRMN GARMIN LONG 324 78.91 5/17 9:30 78.90 0.74%
Trade id #123505397
Max drawdown($903)
Time5/15/19 8:58
Quant open324
Worst price76.12
Drawdown as % of equity-0.74%
($9)
Includes Typical Broker Commissions trade costs of $6.48
5/16/19 9:39 SPY SPDR S&P 500 LONG 400 286.48 5/16 13:48 288.03 n/a $612
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 15:32 INTC INTEL LONG 514 50.86 5/16 9:30 45.47 2.68%
Trade id #123497037
Max drawdown($3,197)
Time5/13/19 18:02
Quant open514
Worst price44.64
Drawdown as % of equity-2.68%
($2,775)
Includes Typical Broker Commissions trade costs of $5.00
4/26/19 9:30 XLNX XILINX LONG 227 115.25 5/16 9:30 109.99 1.02%
Trade id #123440322
Max drawdown($1,241)
Time5/13/19 13:34
Quant open227
Worst price109.78
Drawdown as % of equity-1.02%
($1,199)
Includes Typical Broker Commissions trade costs of $4.54
5/2/19 9:30 AMAT APPLIED MATERIALS LONG 591 43.17 5/15 11:43 41.62 2.18%
Trade id #123503687
Max drawdown($2,659)
Time5/13/19 10:03
Quant open591
Worst price38.67
Drawdown as % of equity-2.18%
($921)
Includes Typical Broker Commissions trade costs of $5.00
5/1/19 14:40 CAG CONAGRA BRANDS INC LONG 865 30.23 5/15 9:30 28.48 1.69%
Trade id #123496113
Max drawdown($2,067)
Time5/13/19 14:17
Quant open865
Worst price27.84
Drawdown as % of equity-1.69%
($1,519)
Includes Typical Broker Commissions trade costs of $5.00
4/25/19 9:59 NTAP NETAPP LONG 359 73.05 5/15 9:30 66.47 2.1%
Trade id #123426793
Max drawdown($2,568)
Time5/13/19 15:39
Quant open359
Worst price65.89
Drawdown as % of equity-2.10%
($2,369)
Includes Typical Broker Commissions trade costs of $7.18
4/26/19 9:32 HP HELMERICH & PAYNE LONG 432 60.45 5/9 14:17 58.34 1.62%
Trade id #123440415
Max drawdown($2,157)
Time5/2/19 9:34
Quant open432
Worst price55.45
Drawdown as % of equity-1.62%
($921)
Includes Typical Broker Commissions trade costs of $8.64
5/6/19 15:43 INCY INCYTE SHORT 152 84.99 5/9 9:30 82.25 0.02%
Trade id #123547579
Max drawdown($25)
Time5/6/19 15:47
Quant open-152
Worst price85.16
Drawdown as % of equity-0.02%
$413
Includes Typical Broker Commissions trade costs of $3.04
4/26/19 9:30 PXD PIONEER NATURAL RESOURCES LONG 156 166.50 5/8 11:08 153.89 2.82%
Trade id #123440337
Max drawdown($3,659)
Time5/7/19 13:08
Quant open156
Worst price143.04
Drawdown as % of equity-2.82%
($1,970)
Includes Typical Broker Commissions trade costs of $3.12
4/29/19 9:50 DHI DR HORTON LONG 600 43.63 5/3 9:32 44.79 0.03%
Trade id #123462641
Max drawdown($36)
Time4/29/19 9:52
Quant open600
Worst price43.57
Drawdown as % of equity-0.03%
$691
Includes Typical Broker Commissions trade costs of $5.00
4/25/19 9:31 CPB CAMPBELL SOUP LONG 678 38.75 5/2 15:31 37.91 0.59%
Trade id #123425627
Max drawdown($786)
Time5/2/19 12:19
Quant open678
Worst price37.59
Drawdown as % of equity-0.59%
($575)
Includes Typical Broker Commissions trade costs of $5.00
4/29/19 9:46 SPY SPDR S&P 500 LONG 400 293.97 4/29 10:08 293.41 0.16%
Trade id #123462555
Max drawdown($224)
Time4/29/19 10:08
Quant open0
Worst price293.41
Drawdown as % of equity-0.16%
($232)
Includes Typical Broker Commissions trade costs of $8.00
4/24/19 9:39 DISH DISH NETWORK LONG 769 33.47 4/29 9:31 34.84 0.03%
Trade id #123411974
Max drawdown($46)
Time4/24/19 9:41
Quant open769
Worst price33.41
Drawdown as % of equity-0.03%
$1,049
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    985.63
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    474
  • # Profitable
    293
  • % Profitable
    61.80%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    17.55%
  • drawdown period
    Jan 03, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    6.2%
  • Avg win
    $536.74
  • Avg loss
    $751.99
  • Model Account Values (Raw)
  • Cash
    $124,139
  • Margin Used
    $0
  • Buying Power
    $124,139
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.31
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.55
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.33880
  • Return Statistics
  • Ann Return (w trading costs)
    6.2%
  • Ann Return (Compnd, No Fees)
    8.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    730
  • C2 Score
    58.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $752
  • Avg Win
    $537
  • # Winners
    293
  • # Losers
    181
  • % Winners
    61.8%
  • Frequency
  • Avg Position Time (mins)
    8820.72
  • Avg Position Time (hrs)
    147.01
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    4.31
  • Unknown
  • Alpha
    0.00
  • Beta
    0.35
  • Treynor Index
    0.04
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05504
  • SD
    0.13515
  • Sharpe ratio (Glass type estimate)
    0.40726
  • Sharpe ratio (Hedges UMVUE)
    0.39698
  • df
    30.00000
  • t
    0.65458
  • p
    0.25886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62054
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55886
  • Upside Potential Ratio
    1.89013
  • Upside part of mean
    0.18615
  • Downside part of mean
    -0.13111
  • Upside SD
    0.09071
  • Downside SD
    0.09849
  • N nonnegative terms
    21.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.08188
  • Mean of criterion
    0.05504
  • SD of predictor
    0.09503
  • SD of criterion
    0.13515
  • Covariance
    0.00498
  • r
    0.38761
  • b (slope, estimate of beta)
    0.55124
  • a (intercept, estimate of alpha)
    0.00991
  • Mean Square Error
    0.01606
  • DF error
    29.00000
  • t(b)
    2.26434
  • p(b)
    0.01560
  • t(a)
    0.12183
  • p(a)
    0.45194
  • Lowerbound of 95% confidence interval for beta
    0.05334
  • Upperbound of 95% confidence interval for beta
    1.04913
  • Lowerbound of 95% confidence interval for alpha
    -0.15641
  • Upperbound of 95% confidence interval for alpha
    0.17622
  • Treynor index (mean / b)
    0.09985
  • Jensen alpha (a)
    0.00991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04582
  • SD
    0.13715
  • Sharpe ratio (Glass type estimate)
    0.33407
  • Sharpe ratio (Hedges UMVUE)
    0.32564
  • df
    30.00000
  • t
    0.53695
  • p
    0.29763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54785
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44453
  • Upside Potential Ratio
    1.76354
  • Upside part of mean
    0.18177
  • Downside part of mean
    -0.13595
  • Upside SD
    0.08806
  • Downside SD
    0.10307
  • N nonnegative terms
    21.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.07706
  • Mean of criterion
    0.04582
  • SD of predictor
    0.09513
  • SD of criterion
    0.13715
  • Covariance
    0.00499
  • r
    0.38273
  • b (slope, estimate of beta)
    0.55183
  • a (intercept, estimate of alpha)
    0.00329
  • Mean Square Error
    0.01661
  • DF error
    29.00000
  • t(b)
    2.23096
  • p(b)
    0.01679
  • t(a)
    0.03997
  • p(a)
    0.48419
  • Lowerbound of 95% confidence interval for beta
    0.04594
  • Upperbound of 95% confidence interval for beta
    1.05771
  • Lowerbound of 95% confidence interval for alpha
    -0.16527
  • Upperbound of 95% confidence interval for alpha
    0.17186
  • Treynor index (mean / b)
    0.08303
  • Jensen alpha (a)
    0.00329
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05946
  • Expected Shortfall on VaR
    0.07480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01801
  • Expected Shortfall on VaR
    0.04162
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.89627
  • Quartile 1
    0.99903
  • Median
    1.00855
  • Quartile 3
    1.02198
  • Maximum
    1.07588
  • Mean of quarter 1
    0.96008
  • Mean of quarter 2
    1.00520
  • Mean of quarter 3
    1.01412
  • Mean of quarter 4
    1.04916
  • Inter Quartile Range
    0.02295
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09677
  • Mean of outliers low
    0.91682
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.06864
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55161
  • VaR(95%) (moments method)
    0.01678
  • Expected Shortfall (moments method)
    0.02033
  • Extreme Value Index (regression method)
    -0.08695
  • VaR(95%) (regression method)
    0.04270
  • Expected Shortfall (regression method)
    0.06339
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01338
  • Quartile 1
    0.01897
  • Median
    0.05892
  • Quartile 3
    0.09868
  • Maximum
    0.10373
  • Mean of quarter 1
    0.01338
  • Mean of quarter 2
    0.02084
  • Mean of quarter 3
    0.09700
  • Mean of quarter 4
    0.10373
  • Inter Quartile Range
    0.07971
  • 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)
    0.08121
  • Compounded annual return (geometric extrapolation)
    0.07651
  • Calmar ratio (compounded annual return / max draw down)
    0.73759
  • Compounded annual return / average of 25% largest draw downs
    0.73759
  • Compounded annual return / Expected Shortfall lognormal
    1.02292
  • 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
    0.06196
  • SD
    0.13098
  • Sharpe ratio (Glass type estimate)
    0.47304
  • Sharpe ratio (Hedges UMVUE)
    0.47253
  • df
    696.00000
  • t
    0.77154
  • p
    0.22032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67444
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64211
  • Upside Potential Ratio
    6.34330
  • Upside part of mean
    0.61209
  • Downside part of mean
    -0.55013
  • Upside SD
    0.08852
  • Downside SD
    0.09649
  • N nonnegative terms
    334.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    697.00000
  • Mean of predictor
    0.08901
  • Mean of criterion
    0.06196
  • SD of predictor
    0.12684
  • SD of criterion
    0.13098
  • Covariance
    0.00582
  • r
    0.35057
  • b (slope, estimate of beta)
    0.36202
  • a (intercept, estimate of alpha)
    0.03000
  • Mean Square Error
    0.01507
  • DF error
    695.00000
  • t(b)
    9.86816
  • p(b)
    -0.00000
  • t(a)
    0.39474
  • p(a)
    0.34658
  • Lowerbound of 95% confidence interval for beta
    0.29000
  • Upperbound of 95% confidence interval for beta
    0.43406
  • Lowerbound of 95% confidence interval for alpha
    -0.11817
  • Upperbound of 95% confidence interval for alpha
    0.17765
  • Treynor index (mean / b)
    0.17115
  • Jensen alpha (a)
    0.02974
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05335
  • SD
    0.13139
  • Sharpe ratio (Glass type estimate)
    0.40601
  • Sharpe ratio (Hedges UMVUE)
    0.40557
  • df
    696.00000
  • t
    0.66222
  • p
    0.25403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79598
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60742
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54474
  • Upside Potential Ratio
    6.21019
  • Upside part of mean
    0.60816
  • Downside part of mean
    -0.55482
  • Upside SD
    0.08752
  • Downside SD
    0.09793
  • N nonnegative terms
    334.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    697.00000
  • Mean of predictor
    0.08093
  • Mean of criterion
    0.05335
  • SD of predictor
    0.12706
  • SD of criterion
    0.13139
  • Covariance
    0.00589
  • r
    0.35285
  • b (slope, estimate of beta)
    0.36489
  • a (intercept, estimate of alpha)
    0.02381
  • Mean Square Error
    0.01514
  • DF error
    695.00000
  • t(b)
    9.94173
  • p(b)
    -0.00000
  • t(a)
    0.31547
  • p(a)
    0.37625
  • Lowerbound of 95% confidence interval for beta
    0.29283
  • Upperbound of 95% confidence interval for beta
    0.43696
  • Lowerbound of 95% confidence interval for alpha
    -0.12440
  • Upperbound of 95% confidence interval for alpha
    0.17203
  • Treynor index (mean / b)
    0.14620
  • Jensen alpha (a)
    0.02381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01306
  • Expected Shortfall on VaR
    0.01640
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00484
  • Expected Shortfall on VaR
    0.01058
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    697.00000
  • Minimum
    0.94920
  • Quartile 1
    0.99842
  • Median
    1.00000
  • Quartile 3
    1.00262
  • Maximum
    1.05425
  • Mean of quarter 1
    0.99213
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00110
  • Mean of quarter 4
    1.00847
  • Inter Quartile Range
    0.00420
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.07747
  • Mean of outliers low
    0.98276
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.08608
  • Mean of outliers high
    1.01536
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65490
  • VaR(95%) (moments method)
    0.00703
  • Expected Shortfall (moments method)
    0.02294
  • Extreme Value Index (regression method)
    0.39341
  • VaR(95%) (regression method)
    0.00698
  • Expected Shortfall (regression method)
    0.01443
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00333
  • Median
    0.00798
  • Quartile 3
    0.02266
  • Maximum
    0.15399
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00653
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.06980
  • Inter Quartile Range
    0.01933
  • 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
    0.12903
  • Mean of outliers high
    0.11132
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44122
  • VaR(95%) (moments method)
    0.07099
  • Expected Shortfall (moments method)
    0.14930
  • Extreme Value Index (regression method)
    0.19887
  • VaR(95%) (regression method)
    0.07650
  • Expected Shortfall (regression method)
    0.12516
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09070
  • Compounded annual return (geometric extrapolation)
    0.08465
  • Calmar ratio (compounded annual return / max draw down)
    0.54967
  • Compounded annual return / average of 25% largest draw downs
    1.21271
  • Compounded annual return / Expected Shortfall lognormal
    5.16139
  • 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
    -0.08507
  • SD
    0.12271
  • Sharpe ratio (Glass type estimate)
    -0.69325
  • Sharpe ratio (Hedges UMVUE)
    -0.68924
  • df
    130.00000
  • t
    -0.49020
  • p
    0.52148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.46231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08383
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90914
  • Upside Potential Ratio
    5.61264
  • Upside part of mean
    0.52519
  • Downside part of mean
    -0.61026
  • Upside SD
    0.07884
  • Downside SD
    0.09357
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12222
  • Mean of criterion
    -0.08507
  • SD of predictor
    0.16320
  • SD of criterion
    0.12271
  • Covariance
    0.00781
  • r
    0.38981
  • b (slope, estimate of beta)
    0.29311
  • a (intercept, estimate of alpha)
    -0.12089
  • Mean Square Error
    0.01287
  • DF error
    129.00000
  • t(b)
    4.80767
  • p(b)
    0.25828
  • t(a)
    -0.75274
  • p(a)
    0.54207
  • Lowerbound of 95% confidence interval for beta
    0.17248
  • Upperbound of 95% confidence interval for beta
    0.41373
  • Lowerbound of 95% confidence interval for alpha
    -0.43865
  • Upperbound of 95% confidence interval for alpha
    0.19687
  • Treynor index (mean / b)
    -0.29024
  • Jensen alpha (a)
    -0.12089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09257
  • SD
    0.12301
  • Sharpe ratio (Glass type estimate)
    -0.75252
  • Sharpe ratio (Hedges UMVUE)
    -0.74817
  • df
    130.00000
  • t
    -0.53212
  • p
    0.52331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.52451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.52147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02512
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.97875
  • Upside Potential Ratio
    5.51971
  • Upside part of mean
    0.52206
  • Downside part of mean
    -0.61463
  • Upside SD
    0.07813
  • Downside SD
    0.09458
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10901
  • Mean of criterion
    -0.09257
  • SD of predictor
    0.16278
  • SD of criterion
    0.12301
  • Covariance
    0.00783
  • r
    0.39105
  • b (slope, estimate of beta)
    0.29551
  • a (intercept, estimate of alpha)
    -0.12479
  • Mean Square Error
    0.01292
  • DF error
    129.00000
  • t(b)
    4.82569
  • p(b)
    0.25755
  • t(a)
    -0.77568
  • p(a)
    0.54334
  • Lowerbound of 95% confidence interval for beta
    0.17435
  • Upperbound of 95% confidence interval for beta
    0.41667
  • Lowerbound of 95% confidence interval for alpha
    -0.44308
  • Upperbound of 95% confidence interval for alpha
    0.19351
  • Treynor index (mean / b)
    -0.31326
  • Jensen alpha (a)
    -0.12479
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01277
  • Expected Shortfall on VaR
    0.01590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00591
  • Expected Shortfall on VaR
    0.01224
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96753
  • Quartile 1
    0.99797
  • Median
    1.00000
  • Quartile 3
    1.00214
  • Maximum
    1.02782
  • Mean of quarter 1
    0.99138
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00070
  • Mean of quarter 4
    1.00745
  • Inter Quartile Range
    0.00417
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98372
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46065
  • VaR(95%) (moments method)
    0.00763
  • Expected Shortfall (moments method)
    0.01681
  • Extreme Value Index (regression method)
    0.33488
  • VaR(95%) (regression method)
    0.00866
  • Expected Shortfall (regression method)
    0.01664
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00121
  • Quartile 1
    0.00331
  • Median
    0.01272
  • Quartile 3
    0.02685
  • Maximum
    0.13967
  • Mean of quarter 1
    0.00203
  • Mean of quarter 2
    0.00520
  • Mean of quarter 3
    0.02180
  • Mean of quarter 4
    0.08586
  • Inter Quartile Range
    0.02354
  • 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
    0.12500
  • Mean of outliers high
    0.13967
  • 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)
    -0.06363
  • Compounded annual return (geometric extrapolation)
    -0.06262
  • Calmar ratio (compounded annual return / max draw down)
    -0.44834
  • Compounded annual return / average of 25% largest draw downs
    -0.72930
  • Compounded annual return / Expected Shortfall lognormal
    -3.93875

Strategy Description

Key elements:
- Signals generated once a day, before market opens.
- Exposure per symbol: 20%
- Maximum exposure: 200% (10 positions)
- Long/short
- Only higly liquid US stocks traded

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$35,000
# Trades
474
# Profitable
293
% Profitable
61.8%
Net Dividends
Correlation S&P500
0.339
Sharpe Ratio
0.31
Sortino Ratio
0.43
Beta
0.35
Alpha
0.00
Leverage
0.86 Average
4.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.