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JWB Stock and ETF ORB
(128743489)

Created by: JohnBennett JohnBennett
Started: 04/2020
Stocks
Last trade: 2 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 $200.00 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).
58.7%
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.

(11.4%)
Max Drawdown
748
Num Trades
55.7%
Win Trades
1.5 : 1
Profit Factor
68.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +3.2%+3.5%+1.7%+15.1%+9.9%(2.6%)(2.2%)+15.8%+8.8%+65.0%
2021+9.4%+3.5%(7.6%)+2.8%+4.3%+7.9%(1.4%)(2.6%)(0.1%)(0.7%)+12.6%+3.7%+34.6%
2022+1.7%                                                                  +1.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/25/22 9:45 XRX XEROX HOLDINGS CORP LONG 2,530 19.72 1/25 15:59 19.99 0.61%
Trade id #139088749
Max drawdown($1,372)
Time1/25/22 10:03
Quant open2,530
Worst price19.18
Drawdown as % of equity-0.61%
$685
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 9:58 TMO THERMO FISHER SCIENTIFIC LONG 89 561.40 1/24 15:59 574.82 0.37%
Trade id #139071108
Max drawdown($803)
Time1/24/22 10:49
Quant open89
Worst price552.37
Drawdown as % of equity-0.37%
$1,192
Includes Typical Broker Commissions trade costs of $1.78
1/24/22 9:51 BAC BANK OF AMERICA CORP LONG 1,154 43.35 1/24 15:59 44.52 0.41%
Trade id #139070857
Max drawdown($879)
Time1/24/22 12:26
Quant open1,154
Worst price42.59
Drawdown as % of equity-0.41%
$1,351
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 9:32 GOOG ALPHABET INC CLASS C LONG 19 2523.74 1/24 15:59 2605.55 0.27%
Trade id #139069982
Max drawdown($587)
Time1/24/22 12:17
Quant open19
Worst price2492.84
Drawdown as % of equity-0.27%
$1,554
Includes Typical Broker Commissions trade costs of $0.38
1/24/22 9:50 AIG AMERICAN INTERNATIONAL LONG 903 55.33 1/24 15:59 57.55 0.39%
Trade id #139070804
Max drawdown($848)
Time1/24/22 12:16
Quant open903
Worst price54.39
Drawdown as % of equity-0.39%
$2,000
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 9:32 F FORD MOTOR LONG 2,639 19.88 1/24 13:56 19.76 1.32%
Trade id #139069967
Max drawdown($2,859)
Time1/24/22 12:25
Quant open2,639
Worst price18.80
Drawdown as % of equity-1.32%
($327)
Includes Typical Broker Commissions trade costs of $6.26
1/21/22 10:23 GM GENERAL MOTORS LONG 947 52.77 1/21 15:59 53.34 n/a $532
Includes Typical Broker Commissions trade costs of $5.00
1/18/22 9:53 HD HOME DEPOT LONG 138 360.62 1/18 15:59 366.44 n/a $800
Includes Typical Broker Commissions trade costs of $2.76
1/14/22 9:32 BLK BLACKROCK LONG 59 841.19 1/14 15:59 848.30 0.09%
Trade id #138954158
Max drawdown($196)
Time1/14/22 13:32
Quant open59
Worst price837.86
Drawdown as % of equity-0.09%
$418
Includes Typical Broker Commissions trade costs of $1.18
1/14/22 14:28 ACN ACCENTURE LONG 142 350.00 1/14 15:59 353.42 n/a $483
Includes Typical Broker Commissions trade costs of $2.84
1/13/22 9:41 BYND BEYOND MEAT INC. COMMON STOCK LONG 750 71.14 1/13 15:59 70.96 0.68%
Trade id #138932585
Max drawdown($1,477)
Time1/13/22 10:54
Quant open750
Worst price69.17
Drawdown as % of equity-0.68%
($140)
Includes Typical Broker Commissions trade costs of $5.00
1/13/22 9:32 MU MICRON TECHNOLOGY LONG 1,100 97.58 1/13 12:48 96.46 0.75%
Trade id #138932180
Max drawdown($1,631)
Time1/13/22 10:54
Quant open1,100
Worst price96.10
Drawdown as % of equity-0.75%
($1,236)
Includes Typical Broker Commissions trade costs of $5.00
1/11/22 10:27 ILF ISHARES S&P LATIN AMERICA 40 I LONG 4,300 23.72 1/11 15:59 24.00 0.22%
Trade id #138903076
Max drawdown($473)
Time1/11/22 10:50
Quant open4,300
Worst price23.61
Drawdown as % of equity-0.22%
$1,199
Includes Typical Broker Commissions trade costs of $5.00
1/10/22 9:32 COST COSTCO WHOLESALE LONG 96 519.52 1/10 15:59 518.79 0.49%
Trade id #138885197
Max drawdown($1,057)
Time1/10/22 10:26
Quant open96
Worst price508.50
Drawdown as % of equity-0.49%
($72)
Includes Typical Broker Commissions trade costs of $1.92
1/6/22 13:42 CNC CENTENE LONG 646 77.34 1/6 15:59 76.16 0.64%
Trade id #138850103
Max drawdown($1,412)
Time1/6/22 14:28
Quant open646
Worst price75.15
Drawdown as % of equity-0.64%
($765)
Includes Typical Broker Commissions trade costs of $5.00
1/6/22 10:13 IRM IRON MOUNTAIN INC REIT LONG 1,066 46.86 1/6 15:59 46.78 0.14%
Trade id #138843268
Max drawdown($309)
Time1/6/22 11:08
Quant open1,066
Worst price46.57
Drawdown as % of equity-0.14%
($90)
Includes Typical Broker Commissions trade costs of $5.00
1/6/22 10:05 NFLX NETFLIX LONG 91 548.50 1/6 15:59 553.02 0.27%
Trade id #138843072
Max drawdown($590)
Time1/6/22 10:12
Quant open91
Worst price542.01
Drawdown as % of equity-0.27%
$409
Includes Typical Broker Commissions trade costs of $1.82
1/6/22 9:32 ACN ACCENTURE LONG 131 383.73 1/6 15:59 378.19 0.47%
Trade id #138841696
Max drawdown($1,044)
Time1/6/22 14:08
Quant open131
Worst price375.76
Drawdown as % of equity-0.47%
($729)
Includes Typical Broker Commissions trade costs of $2.62
1/5/22 13:56 PAYC PAYCOM SOFTWARE INC LONG 134 372.74 1/5 15:59 360.44 0.84%
Trade id #138831117
Max drawdown($1,876)
Time1/5/22 14:47
Quant open134
Worst price358.74
Drawdown as % of equity-0.84%
($1,651)
Includes Typical Broker Commissions trade costs of $2.68
1/5/22 14:08 IRM IRON MOUNTAIN INC REIT LONG 1,016 49.15 1/5 15:59 48.49 0.36%
Trade id #138831425
Max drawdown($812)
Time1/5/22 15:30
Quant open1,016
Worst price48.35
Drawdown as % of equity-0.36%
($676)
Includes Typical Broker Commissions trade costs of $5.00
1/5/22 9:33 ADBE ADOBE INC LONG 95 525.28 1/5 15:59 514.92 0.48%
Trade id #138825232
Max drawdown($1,071)
Time1/5/22 15:06
Quant open95
Worst price514.00
Drawdown as % of equity-0.48%
($986)
Includes Typical Broker Commissions trade costs of $1.90
1/3/22 10:15 MU MICRON TECHNOLOGY LONG 1,100 94.59 1/3 10:16 94.64 n/a $50
Includes Typical Broker Commissions trade costs of $5.00
12/30/21 10:07 NFLX NETFLIX LONG 160 619.33 12/30 15:59 611.82 0.58%
Trade id #138754471
Max drawdown($1,294)
Time12/30/21 15:59
Quant open160
Worst price611.24
Drawdown as % of equity-0.58%
($1,205)
Includes Typical Broker Commissions trade costs of $3.20
12/29/21 9:30 MU MICRON TECHNOLOGY LONG 1,100 94.82 12/29 15:59 96.21 0.33%
Trade id #138740365
Max drawdown($726)
Time12/29/21 9:37
Quant open1,100
Worst price94.16
Drawdown as % of equity-0.33%
$1,524
Includes Typical Broker Commissions trade costs of $5.00
12/29/21 10:08 ISRG INTUITIVE SURGICAL LONG 290 369.08 12/29 12:34 364.55 0.59%
Trade id #138741559
Max drawdown($1,316)
Time12/29/21 12:03
Quant open290
Worst price364.54
Drawdown as % of equity-0.59%
($1,320)
Includes Typical Broker Commissions trade costs of $5.80
12/27/21 9:36 CMG CHIPOTLE MEXICAN GRILL LONG 60 1757.83 12/27 15:59 1766.31 0.23%
Trade id #138711235
Max drawdown($503)
Time12/27/21 9:54
Quant open60
Worst price1749.44
Drawdown as % of equity-0.23%
$508
Includes Typical Broker Commissions trade costs of $1.20
12/27/21 9:37 NVDA NVIDIA LONG 340 301.07 12/27 15:59 309.21 n/a $2,761
Includes Typical Broker Commissions trade costs of $6.80
12/23/21 9:33 SHAK SHAKE SHACK INC LONG 700 74.96 12/23 15:59 74.51 0.74%
Trade id #138678247
Max drawdown($1,638)
Time12/23/21 10:05
Quant open700
Worst price72.62
Drawdown as % of equity-0.74%
($318)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 9:54 AVY AVERY DENNISON LONG 250 199.61 12/20 15:58 202.76 0.46%
Trade id #138638791
Max drawdown($987)
Time12/20/21 10:47
Quant open250
Worst price195.66
Drawdown as % of equity-0.46%
$783
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 10:31 PH PARKER HANNIFIN LONG 170 293.16 12/20 15:58 296.85 0.27%
Trade id #138639761
Max drawdown($576)
Time12/20/21 13:05
Quant open170
Worst price289.77
Drawdown as % of equity-0.27%
$623
Includes Typical Broker Commissions trade costs of $3.40

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    640.75
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    748
  • # Profitable
    417
  • % Profitable
    55.70%
  • Avg trade duration
    5.7 hours
  • Max peak-to-valley drawdown
    11.39%
  • drawdown period
    July 13, 2020 - July 17, 2020
  • Annual Return (Compounded)
    58.7%
  • Avg win
    $1,025
  • Avg loss
    $884.55
  • Model Account Values (Raw)
  • Cash
    $234,694
  • Margin Used
    $0
  • Buying Power
    $234,694
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    2.15
  • Sortino Ratio
    3.7
  • Calmar Ratio
    7.585
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    70.68%
  • Correlation to SP500
    0.04450
  • Return Percent SP500 (cumu) during strategy life
    53.34%
  • Return Statistics
  • Ann Return (w trading costs)
    58.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.587%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    62.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.00%
  • 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
    79.33%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    934
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    992
  • Popularity (7 days, Percentile 1000 scale)
    964
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $885
  • Avg Win
    $1,025
  • Sum Trade PL (losers)
    $292,786.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $427,480.000
  • # Winners
    417
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    23103
  • Win / Loss
  • # Losers
    331
  • % Winners
    55.8%
  • Frequency
  • Avg Position Time (mins)
    342.68
  • Avg Position Time (hrs)
    5.71
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.12
  • Beta
    0.05
  • Treynor Index
    2.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    23.882
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.535
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.416
  • Hold-and-Hope Ratio
    0.042
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52920
  • SD
    0.20173
  • Sharpe ratio (Glass type estimate)
    2.62332
  • Sharpe ratio (Hedges UMVUE)
    2.51815
  • df
    19.00000
  • t
    3.38669
  • p
    0.13553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86732
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80179
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23451
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.25586
  • Upside Potential Ratio
    9.40898
  • Upside part of mean
    0.60312
  • Downside part of mean
    -0.07392
  • Upside SD
    0.24060
  • Downside SD
    0.06410
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.31485
  • Mean of criterion
    0.52920
  • SD of predictor
    0.13401
  • SD of criterion
    0.20173
  • Covariance
    0.00538
  • r
    0.19903
  • b (slope, estimate of beta)
    0.29961
  • a (intercept, estimate of alpha)
    0.43487
  • Mean Square Error
    0.04125
  • DF error
    18.00000
  • t(b)
    0.86167
  • p(b)
    0.40048
  • t(a)
    2.26885
  • p(a)
    0.26421
  • Lowerbound of 95% confidence interval for beta
    -0.43090
  • Upperbound of 95% confidence interval for beta
    1.03012
  • Lowerbound of 95% confidence interval for alpha
    0.03219
  • Upperbound of 95% confidence interval for alpha
    0.83755
  • Treynor index (mean / b)
    1.76629
  • Jensen alpha (a)
    0.43487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50014
  • SD
    0.19318
  • Sharpe ratio (Glass type estimate)
    2.58905
  • Sharpe ratio (Hedges UMVUE)
    2.48526
  • df
    19.00000
  • t
    3.34245
  • p
    0.13806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77375
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19676
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.56372
  • Upside Potential Ratio
    8.71394
  • Upside part of mean
    0.57620
  • Downside part of mean
    -0.07606
  • Upside SD
    0.22787
  • Downside SD
    0.06612
  • N nonnegative terms
    16.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.30257
  • Mean of criterion
    0.50014
  • SD of predictor
    0.13202
  • SD of criterion
    0.19318
  • Covariance
    0.00493
  • r
    0.19319
  • b (slope, estimate of beta)
    0.28267
  • a (intercept, estimate of alpha)
    0.41462
  • Mean Square Error
    0.03792
  • DF error
    18.00000
  • t(b)
    0.83536
  • p(b)
    0.40341
  • t(a)
    2.27431
  • p(a)
    0.26377
  • Lowerbound of 95% confidence interval for beta
    -0.42824
  • Upperbound of 95% confidence interval for beta
    0.99359
  • Lowerbound of 95% confidence interval for alpha
    0.03161
  • Upperbound of 95% confidence interval for alpha
    0.79762
  • Treynor index (mean / b)
    1.76934
  • Jensen alpha (a)
    0.41462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04882
  • Expected Shortfall on VaR
    0.07053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00660
  • Expected Shortfall on VaR
    0.01790
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.93243
  • Quartile 1
    1.01018
  • Median
    1.03126
  • Quartile 3
    1.09109
  • Maximum
    1.15271
  • Mean of quarter 1
    0.97679
  • Mean of quarter 2
    1.02364
  • Mean of quarter 3
    1.05418
  • Mean of quarter 4
    1.12178
  • Inter Quartile Range
    0.08091
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.10940
  • VaR(95%) (regression method)
    0.04224
  • Expected Shortfall (regression method)
    0.06841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00722
  • Quartile 1
    0.02721
  • Median
    0.04720
  • Quartile 3
    0.05739
  • Maximum
    0.06757
  • Mean of quarter 1
    0.00722
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06757
  • Inter Quartile Range
    0.03018
  • 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)
    0.78091
  • Compounded annual return (geometric extrapolation)
    0.64896
  • Calmar ratio (compounded annual return / max draw down)
    9.60368
  • Compounded annual return / average of 25% largest draw downs
    9.60368
  • Compounded annual return / Expected Shortfall lognormal
    9.20166
  • 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
    0.50428
  • SD
    0.17233
  • Sharpe ratio (Glass type estimate)
    2.92619
  • Sharpe ratio (Hedges UMVUE)
    2.92137
  • df
    455.00000
  • t
    3.86042
  • p
    0.00006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.42689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41909
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.11758
  • Upside Potential Ratio
    10.93900
  • Upside part of mean
    1.07791
  • Downside part of mean
    -0.57363
  • Upside SD
    0.14455
  • Downside SD
    0.09854
  • N nonnegative terms
    279.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    456.00000
  • Mean of predictor
    0.25730
  • Mean of criterion
    0.50428
  • SD of predictor
    0.16102
  • SD of criterion
    0.17233
  • Covariance
    0.00081
  • r
    0.02935
  • b (slope, estimate of beta)
    0.03141
  • a (intercept, estimate of alpha)
    0.49600
  • Mean Square Error
    0.02974
  • DF error
    454.00000
  • t(b)
    0.62562
  • p(b)
    0.26594
  • t(a)
    3.77761
  • p(a)
    0.00009
  • Lowerbound of 95% confidence interval for beta
    -0.06726
  • Upperbound of 95% confidence interval for beta
    0.13008
  • Lowerbound of 95% confidence interval for alpha
    0.23806
  • Upperbound of 95% confidence interval for alpha
    0.75433
  • Treynor index (mean / b)
    16.05450
  • Jensen alpha (a)
    0.49619
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48902
  • SD
    0.17210
  • Sharpe ratio (Glass type estimate)
    2.84158
  • Sharpe ratio (Hedges UMVUE)
    2.83690
  • df
    455.00000
  • t
    3.74880
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.34297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33394
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.84897
  • Upside Potential Ratio
    10.58650
  • Upside part of mean
    1.06766
  • Downside part of mean
    -0.57864
  • Upside SD
    0.14246
  • Downside SD
    0.10085
  • N nonnegative terms
    279.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    456.00000
  • Mean of predictor
    0.24419
  • Mean of criterion
    0.48902
  • SD of predictor
    0.16158
  • SD of criterion
    0.17210
  • Covariance
    0.00078
  • r
    0.02811
  • b (slope, estimate of beta)
    0.02994
  • a (intercept, estimate of alpha)
    0.48171
  • Mean Square Error
    0.02966
  • DF error
    454.00000
  • t(b)
    0.59925
  • p(b)
    0.27465
  • t(a)
    3.67413
  • p(a)
    0.00013
  • Lowerbound of 95% confidence interval for beta
    -0.06825
  • Upperbound of 95% confidence interval for beta
    0.12814
  • Lowerbound of 95% confidence interval for alpha
    0.22406
  • Upperbound of 95% confidence interval for alpha
    0.73937
  • Treynor index (mean / b)
    16.33170
  • Jensen alpha (a)
    0.48171
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01550
  • Expected Shortfall on VaR
    0.01986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00411
  • Expected Shortfall on VaR
    0.00935
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    456.00000
  • Minimum
    0.91685
  • Quartile 1
    0.99750
  • Median
    1.00003
  • Quartile 3
    1.00436
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99188
  • Mean of quarter 2
    0.99936
  • Mean of quarter 3
    1.00197
  • Mean of quarter 4
    1.01449
  • Inter Quartile Range
    0.00686
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.03289
  • Mean of outliers low
    0.97661
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.08991
  • Mean of outliers high
    1.02489
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39679
  • VaR(95%) (moments method)
    0.00765
  • Expected Shortfall (moments method)
    0.01487
  • Extreme Value Index (regression method)
    0.19601
  • VaR(95%) (regression method)
    0.00699
  • Expected Shortfall (regression method)
    0.01105
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00385
  • Median
    0.00875
  • Quartile 3
    0.03021
  • Maximum
    0.08315
  • Mean of quarter 1
    0.00184
  • Mean of quarter 2
    0.00619
  • Mean of quarter 3
    0.01715
  • Mean of quarter 4
    0.05860
  • Inter Quartile Range
    0.02636
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.08104
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.77107
  • VaR(95%) (moments method)
    0.05790
  • Expected Shortfall (moments method)
    0.05797
  • Extreme Value Index (regression method)
    -1.13953
  • VaR(95%) (regression method)
    0.06916
  • Expected Shortfall (regression method)
    0.07280
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77123
  • Compounded annual return (geometric extrapolation)
    0.63072
  • Calmar ratio (compounded annual return / max draw down)
    7.58518
  • Compounded annual return / average of 25% largest draw downs
    10.76410
  • Compounded annual return / Expected Shortfall lognormal
    31.76350
  • 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
    0.28133
  • SD
    0.11172
  • Sharpe ratio (Glass type estimate)
    2.51815
  • Sharpe ratio (Hedges UMVUE)
    2.50360
  • df
    130.00000
  • t
    1.78060
  • p
    0.42285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29206
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.46660
  • Upside Potential Ratio
    10.72170
  • Upside part of mean
    0.67531
  • Downside part of mean
    -0.39398
  • Upside SD
    0.09339
  • Downside SD
    0.06298
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01002
  • Mean of criterion
    0.28133
  • SD of predictor
    0.13459
  • SD of criterion
    0.11172
  • Covariance
    -0.00070
  • r
    -0.04646
  • b (slope, estimate of beta)
    -0.03857
  • a (intercept, estimate of alpha)
    0.28171
  • Mean Square Error
    0.01255
  • DF error
    129.00000
  • t(b)
    -0.52828
  • p(b)
    0.52957
  • t(a)
    1.77808
  • p(a)
    0.40193
  • Lowerbound of 95% confidence interval for beta
    -0.18301
  • Upperbound of 95% confidence interval for beta
    0.10587
  • Lowerbound of 95% confidence interval for alpha
    -0.03176
  • Upperbound of 95% confidence interval for alpha
    0.59519
  • Treynor index (mean / b)
    -7.29460
  • Jensen alpha (a)
    0.28171
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27502
  • SD
    0.11132
  • Sharpe ratio (Glass type estimate)
    2.47055
  • Sharpe ratio (Hedges UMVUE)
    2.45627
  • df
    130.00000
  • t
    1.74694
  • p
    0.42428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.24411
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.32132
  • Upside Potential Ratio
    10.54350
  • Upside part of mean
    0.67101
  • Downside part of mean
    -0.39599
  • Upside SD
    0.09239
  • Downside SD
    0.06364
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00102
  • Mean of criterion
    0.27502
  • SD of predictor
    0.13479
  • SD of criterion
    0.11132
  • Covariance
    -0.00069
  • r
    -0.04596
  • b (slope, estimate of beta)
    -0.03796
  • a (intercept, estimate of alpha)
    0.27506
  • Mean Square Error
    0.01246
  • DF error
    129.00000
  • t(b)
    -0.52257
  • p(b)
    0.52925
  • t(a)
    1.74229
  • p(a)
    0.40384
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.18168
  • Upperbound of 95% confidence interval for beta
    0.10576
  • Lowerbound of 95% confidence interval for alpha
    -0.03729
  • Upperbound of 95% confidence interval for alpha
    0.58741
  • Treynor index (mean / b)
    -7.24515
  • Jensen alpha (a)
    0.27506
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01021
  • Expected Shortfall on VaR
    0.01305
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00289
  • Expected Shortfall on VaR
    0.00643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96793
  • Quartile 1
    0.99822
  • Median
    1.00000
  • Quartile 3
    1.00289
  • Maximum
    1.03818
  • Mean of quarter 1
    0.99454
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00121
  • Mean of quarter 4
    1.00906
  • Inter Quartile Range
    0.00466
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98508
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01581
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43348
  • VaR(95%) (moments method)
    0.00545
  • Expected Shortfall (moments method)
    0.01100
  • Extreme Value Index (regression method)
    0.40106
  • VaR(95%) (regression method)
    0.00536
  • Expected Shortfall (regression method)
    0.01030
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00404
  • Median
    0.00500
  • Quartile 3
    0.02382
  • Maximum
    0.04216
  • Mean of quarter 1
    0.00145
  • Mean of quarter 2
    0.00471
  • Mean of quarter 3
    0.01417
  • Mean of quarter 4
    0.03393
  • Inter Quartile Range
    0.01978
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -283649000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29482
  • Compounded annual return (geometric extrapolation)
    0.31655
  • Calmar ratio (compounded annual return / max draw down)
    7.50904
  • Compounded annual return / average of 25% largest draw downs
    9.32888
  • Compounded annual return / Expected Shortfall lognormal
    24.26250

Strategy Description

For the ORB strategy, there is a universe of symbols that are tracked daily, and buy orders are placed above the open for a sub-set of symbols that have a short-term pullback from a bullish trend. This strategy exits at the close of each day so there is no overnight risk.

As a complement to the first strategy, mean reversion positions are entered for overvalued and undervalued stocks selected from the S&P 500. The selected stocks must match a specific pattern in order to be considered for the trading day. A trade is initiated if the stocks continue to reverse during the trading day. Once a position is entered, it is exited by the close.

***ALL SUBSCRIBERS ARE ENTILED TO FREE ACCESS TO MY OTHER PROGRAM - SPXL/SPXS NEURAL NETWORK

Summary Statistics

Strategy began
2020-04-26
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 0.8%
Rank # 
#7
# Trades
748
# Profitable
417
% Profitable
55.7%
Correlation S&P500
0.044
Sharpe Ratio
2.15
Sortino Ratio
3.70
Beta
0.05
Alpha
0.12
Leverage
1.00 Average
3.31 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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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.