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These are hypothetical performance results that have certain inherent limitations. Learn more
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SYSTEM LAM
(136062532)

Created by: MartinPage MartinPage
Started: 06/2021
Stocks
Last trade: 737 days ago
Trading style: Equity 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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
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).
-3.8%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(25.0%)
Max Drawdown
210
Num Trades
66.2%
Win Trades
1.0 : 1
Profit Factor
17.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                   (1.5%)+5.3%+2.6%(4.6%)(0.3%)(6.7%)+5.8%0.0
2022(8.7%)+0.4%+2.1%+3.0%  -    -    -    -    -    -    -    -  (3.5%)
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 23 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 945 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/14/22 9:30 ABBV ABBVIE INC LONG 37 157.85 4/14 9:52 159.92 0.05%
Trade id #140135949
Max drawdown($21)
Time4/14/22 9:33
Quant open37
Worst price157.26
Drawdown as % of equity-0.05%
 $76
Includes Typical Broker Commissions trade costs of $0.74
4/13/22 9:30 VRSK VERISK ANALYTICS LONG 28 214.87 4/14 9:52 214.91 0.11%
Trade id #140122428
Max drawdown($54)
Time4/13/22 12:57
Quant open28
Worst price212.93
Drawdown as % of equity-0.11%
 $0
Includes Typical Broker Commissions trade costs of $0.56
4/12/22 9:30 VTR VENTAS LONG 98 60.44 4/14 9:52 61.35 n/a $87
Includes Typical Broker Commissions trade costs of $1.96
4/6/22 9:30 HWM HOWMET AEROSPACE INC LONG 176 34.22 4/14 9:52 35.63 0.28%
Trade id #140041881
Max drawdown($132)
Time4/7/22 0:00
Quant open176
Worst price33.47
Drawdown as % of equity-0.28%
 $244
Includes Typical Broker Commissions trade costs of $3.52
4/8/22 9:30 MAR MARRIOT INTERNATIONAL CLASS A LONG 36 163.61 4/14 9:30 176.20 0.15%
Trade id #140071867
Max drawdown($70)
Time4/11/22 0:00
Quant open36
Worst price161.66
Drawdown as % of equity-0.15%
 $452
Includes Typical Broker Commissions trade costs of $0.72
4/7/22 9:30 SPLK SPLUNK INC LONG 44 135.69 4/14 9:30 141.00 0.54%
Trade id #140056330
Max drawdown($256)
Time4/11/22 0:00
Quant open44
Worst price129.86
Drawdown as % of equity-0.54%
 $233
Includes Typical Broker Commissions trade costs of $0.88
4/5/22 9:30 UNP UNION PACIFIC LONG 23 256.36 4/13 9:30 244.76 0.82%
Trade id #140028030
Max drawdown($386)
Time4/11/22 0:00
Quant open23
Worst price239.57
Drawdown as % of equity-0.82%
 ($267)
Includes Typical Broker Commissions trade costs of $0.46
4/7/22 9:30 PXD PIONEER NATURAL RESOURCES LONG 24 243.36 4/11 9:30 252.66 0.31%
Trade id #140056334
Max drawdown($143)
Time4/7/22 12:31
Quant open24
Worst price237.37
Drawdown as % of equity-0.31%
 $223
Includes Typical Broker Commissions trade costs of $0.48
4/6/22 9:30 BRK.B BERKSHIRE HATHAWAY CL B LONG 17 341.17 4/11 9:30 352.98 0.02%
Trade id #140041869
Max drawdown($8)
Time4/6/22 9:33
Quant open17
Worst price340.66
Drawdown as % of equity-0.02%
 $201
Includes Typical Broker Commissions trade costs of $0.34
4/5/22 9:30 DLTR DOLLAR TREE STORES LONG 38 156.17 4/8 9:30 158.51 0.18%
Trade id #140028033
Max drawdown($82)
Time4/6/22 0:00
Quant open38
Worst price154.00
Drawdown as % of equity-0.18%
 $88
Includes Typical Broker Commissions trade costs of $0.76
4/6/22 9:30 CERN CERNER LONG 64 93.04 4/8 9:30 93.41 0%
Trade id #140041862
Max drawdown($1)
Time4/6/22 14:07
Quant open64
Worst price93.03
Drawdown as % of equity-0.00%
 $23
Includes Typical Broker Commissions trade costs of $1.28
4/4/22 9:30 ORLY O'REILLY AUTOMOTIVE LONG 8 668.20 4/6 9:30 688.35 0.1%
Trade id #140015040
Max drawdown($48)
Time4/4/22 9:36
Quant open8
Worst price662.17
Drawdown as % of equity-0.10%
 $161
Includes Typical Broker Commissions trade costs of $0.16
4/1/22 9:31 GOOGL ALPHABET INC CLASS A LONG 2 2790.00 4/4 9:30 2807.17 0.1%
Trade id #139989983
Max drawdown($47)
Time4/1/22 9:54
Quant open2
Worst price2766.15
Drawdown as % of equity-0.10%
 $34
Includes Typical Broker Commissions trade costs of $0.04
3/15/22 9:30 ATVI ACTIVISION BLIZZARD LONG 75 79.43 3/29 9:30 80.15 0.16%
Trade id #139785538
Max drawdown($76)
Time3/21/22 0:00
Quant open75
Worst price78.41
Drawdown as % of equity-0.16%
 $53
Includes Typical Broker Commissions trade costs of $1.50
3/10/22 9:30 CSX CSX LONG 176 34.28 3/17 9:30 36.05 0.15%
Trade id #139731336
Max drawdown($70)
Time3/10/22 9:43
Quant open176
Worst price33.88
Drawdown as % of equity-0.15%
 $308
Includes Typical Broker Commissions trade costs of $3.52
3/9/22 9:30 KO COCA-COLA LONG 103 59.82 3/15 9:30 59.08 0.52%
Trade id #139713048
Max drawdown($238)
Time3/10/22 0:00
Quant open103
Worst price57.50
Drawdown as % of equity-0.52%
 ($78)
Includes Typical Broker Commissions trade costs of $2.06
3/8/22 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 49 121.14 3/11 9:30 124.43 0.45%
Trade id #139692911
Max drawdown($207)
Time3/8/22 11:44
Quant open49
Worst price116.91
Drawdown as % of equity-0.45%
 $160
Includes Typical Broker Commissions trade costs of $0.98
3/9/22 9:30 ORLY O'REILLY AUTOMOTIVE LONG 9 665.39 3/11 9:30 682.71 0.1%
Trade id #139713038
Max drawdown($47)
Time3/10/22 0:00
Quant open9
Worst price660.15
Drawdown as % of equity-0.10%
 $156
Includes Typical Broker Commissions trade costs of $0.18
3/8/22 9:30 RTX RAYTHEON TECHNOLOGIES CORP LONG 61 98.01 3/10 9:30 98.17 0.44%
Trade id #139692915
Max drawdown($202)
Time3/8/22 15:59
Quant open61
Worst price94.69
Drawdown as % of equity-0.44%
 $9
Includes Typical Broker Commissions trade costs of $1.22
2/23/22 9:30 AAPL APPLE LONG 36 165.54 3/3 9:30 168.47 1.09%
Trade id #139504443
Max drawdown($487)
Time2/24/22 0:00
Quant open36
Worst price152.00
Drawdown as % of equity-1.09%
 $104
Includes Typical Broker Commissions trade costs of $0.72
2/15/22 9:30 VRTX VERTEX LONG 25 231.88 3/3 9:30 234.93 0.37%
Trade id #139395744
Max drawdown($165)
Time2/24/22 0:00
Quant open25
Worst price225.28
Drawdown as % of equity-0.37%
 $76
Includes Typical Broker Commissions trade costs of $0.50
2/24/22 9:30 TSN TYSON FOODS LONG 65 90.31 3/2 9:30 94.30 0.3%
Trade id #139526975
Max drawdown($134)
Time2/24/22 13:03
Quant open65
Worst price88.24
Drawdown as % of equity-0.30%
 $258
Includes Typical Broker Commissions trade costs of $1.30
2/22/22 9:31 BDX BECTON DICKINSON LONG 22 264.95 2/28 9:31 268.54 0.09%
Trade id #139486469
Max drawdown($41)
Time2/22/22 15:25
Quant open22
Worst price263.06
Drawdown as % of equity-0.09%
 $79
Includes Typical Broker Commissions trade costs of $0.44
2/24/22 9:30 AXP AMERICAN EXPRESS LONG 31 180.47 2/28 9:30 189.63 0.1%
Trade id #139526982
Max drawdown($44)
Time2/24/22 9:34
Quant open31
Worst price179.05
Drawdown as % of equity-0.10%
 $283
Includes Typical Broker Commissions trade costs of $0.62
2/23/22 9:30 DD DU PONT DE NEMOURS & CO LONG 77 78.45 2/28 9:30 76.75 1.09%
Trade id #139504457
Max drawdown($488)
Time2/24/22 0:00
Quant open77
Worst price72.11
Drawdown as % of equity-1.09%
 ($133)
Includes Typical Broker Commissions trade costs of $1.54
2/7/22 9:30 INCY INCYTE LONG 83 72.70 2/28 9:30 67.92 1.3%
Trade id #139283597
Max drawdown($589)
Time2/14/22 0:00
Quant open83
Worst price65.60
Drawdown as % of equity-1.30%
 ($399)
Includes Typical Broker Commissions trade costs of $1.66
2/22/22 9:31 TMUS T-MOBILE US INC. COMMON STOCK LONG 48 123.62 2/25 9:30 124.73 0.52%
Trade id #139486477
Max drawdown($234)
Time2/24/22 0:00
Quant open48
Worst price118.73
Drawdown as % of equity-0.52%
 $52
Includes Typical Broker Commissions trade costs of $0.96
2/24/22 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 2 2161.61 2/24 9:30 2175.09 n/a $27
Includes Typical Broker Commissions trade costs of $0.04
2/15/22 9:30 JNJ JOHNSON & JOHNSON LONG 36 166.13 2/18 9:30 164.98 0.14%
Trade id #139395755
Max drawdown($64)
Time2/18/22 9:30
Quant open36
Worst price164.33
Drawdown as % of equity-0.14%
 ($42)
Includes Typical Broker Commissions trade costs of $0.72
2/14/22 9:31 KO COCA-COLA LONG 100 60.16 2/16 9:30 60.86 0.2%
Trade id #139377757
Max drawdown($88)
Time2/14/22 11:14
Quant open100
Worst price59.28
Drawdown as % of equity-0.20%
 $68
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    6/15/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1036.63
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    210
  • # Profitable
    139
  • % Profitable
    66.20%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    24.97%
  • drawdown period
    Aug 30, 2021 - Jan 25, 2022
  • Cumul. Return
    -3.6%
  • Avg win
    $143.32
  • Avg loss
    $284.07
  • Model Account Values (Raw)
  • Cash
    $50,132
  • Margin Used
    $0
  • Buying Power
    $50,132
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    0.013
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.85%
  • Correlation to SP500
    0.22970
  • Return Percent SP500 (cumu) during strategy life
    16.97%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -3.8%
  • Slump
  • Current Slump as Pcnt Equity
    12.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.036%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    4.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $284
  • Avg Win
    $143
  • Sum Trade PL (losers)
    $20,169.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $19,922.000
  • # Winners
    139
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    384
  • Win / Loss
  • # Losers
    71
  • % Winners
    66.2%
  • Frequency
  • Avg Position Time (mins)
    11480.90
  • Avg Position Time (hrs)
    191.35
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    734
  • Leverage
  • Daily leverage (average)
    0.68
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    -0.01
  • Beta
    0.09
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -21.677
  • 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
    0.761
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.474
  • Hold-and-Hope Ratio
    -0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01972
  • SD
    0.10844
  • Sharpe ratio (Glass type estimate)
    -0.18185
  • Sharpe ratio (Hedges UMVUE)
    -0.16780
  • df
    10.00000
  • t
    -0.17411
  • p
    0.56737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22605
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88063
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25678
  • Upside Potential Ratio
    1.84774
  • Upside part of mean
    0.14191
  • Downside part of mean
    -0.16163
  • Upside SD
    0.06946
  • Downside SD
    0.07680
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.10445
  • Mean of criterion
    -0.01972
  • SD of predictor
    0.14128
  • SD of criterion
    0.10844
  • Covariance
    0.00441
  • r
    0.28783
  • b (slope, estimate of beta)
    0.22093
  • a (intercept, estimate of alpha)
    0.00336
  • Mean Square Error
    0.01198
  • DF error
    9.00000
  • t(b)
    0.90165
  • p(b)
    0.19537
  • t(a)
    0.02864
  • p(a)
    0.48889
  • Lowerbound of 95% confidence interval for beta
    -0.33336
  • Upperbound of 95% confidence interval for beta
    0.77522
  • Lowerbound of 95% confidence interval for alpha
    -0.26170
  • Upperbound of 95% confidence interval for alpha
    0.26841
  • Treynor index (mean / b)
    -0.08926
  • Jensen alpha (a)
    0.00336
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02503
  • SD
    0.10840
  • Sharpe ratio (Glass type estimate)
    -0.23091
  • Sharpe ratio (Hedges UMVUE)
    -0.21307
  • df
    10.00000
  • t
    -0.22108
  • p
    0.58526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27483
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83617
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32014
  • Upside Potential Ratio
    1.78080
  • Upside part of mean
    0.13923
  • Downside part of mean
    -0.16427
  • Upside SD
    0.06798
  • Downside SD
    0.07819
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.11418
  • Mean of criterion
    -0.02503
  • SD of predictor
    0.14603
  • SD of criterion
    0.10840
  • Covariance
    0.00439
  • r
    0.27735
  • b (slope, estimate of beta)
    0.20589
  • a (intercept, estimate of alpha)
    -0.00152
  • Mean Square Error
    0.01205
  • DF error
    9.00000
  • t(b)
    0.86603
  • p(b)
    0.20448
  • t(a)
    -0.01292
  • p(a)
    0.50501
  • Lowerbound of 95% confidence interval for beta
    -0.33191
  • Upperbound of 95% confidence interval for beta
    0.74368
  • Lowerbound of 95% confidence interval for alpha
    -0.26808
  • Upperbound of 95% confidence interval for alpha
    0.26503
  • Treynor index (mean / b)
    -0.12158
  • Jensen alpha (a)
    -0.00152
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05215
  • Expected Shortfall on VaR
    0.06440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03302
  • Expected Shortfall on VaR
    0.05513
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.95710
  • Quartile 1
    0.97588
  • Median
    1.00000
  • Quartile 3
    1.02292
  • Maximum
    1.05145
  • Mean of quarter 1
    0.96344
  • Mean of quarter 2
    0.99183
  • Mean of quarter 3
    1.01403
  • Mean of quarter 4
    1.03789
  • Inter Quartile Range
    0.04705
  • 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)
    -731.17700
  • VaR(95%) (moments method)
    0.03819
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.84699
  • VaR(95%) (regression method)
    0.07420
  • Expected Shortfall (regression method)
    0.07422
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11128
  • Quartile 1
    0.11128
  • Median
    0.11128
  • Quartile 3
    0.11128
  • Maximum
    0.11128
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00288
  • Compounded annual return (geometric extrapolation)
    0.00288
  • Calmar ratio (compounded annual return / max draw down)
    0.02588
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.04473
  • 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
    -0.01786
  • SD
    0.12056
  • Sharpe ratio (Glass type estimate)
    -0.14818
  • Sharpe ratio (Hedges UMVUE)
    -0.14773
  • df
    246.00000
  • t
    -0.14388
  • p
    0.55714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87091
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20156
  • Upside Potential Ratio
    6.33602
  • Upside part of mean
    0.56159
  • Downside part of mean
    -0.57945
  • Upside SD
    0.08137
  • Downside SD
    0.08863
  • N nonnegative terms
    116.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    247.00000
  • Mean of predictor
    -0.05944
  • Mean of criterion
    -0.01786
  • SD of predictor
    0.18272
  • SD of criterion
    0.12056
  • Covariance
    0.00825
  • r
    0.37457
  • b (slope, estimate of beta)
    0.24715
  • a (intercept, estimate of alpha)
    -0.04000
  • Mean Square Error
    0.01255
  • DF error
    245.00000
  • t(b)
    6.32329
  • p(b)
    0.00000
  • t(a)
    -0.02751
  • p(a)
    0.51096
  • Lowerbound of 95% confidence interval for beta
    0.17016
  • Upperbound of 95% confidence interval for beta
    0.32414
  • Lowerbound of 95% confidence interval for alpha
    -0.23045
  • Upperbound of 95% confidence interval for alpha
    0.22410
  • Treynor index (mean / b)
    -0.07228
  • Jensen alpha (a)
    -0.00317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02511
  • SD
    0.12068
  • Sharpe ratio (Glass type estimate)
    -0.20808
  • Sharpe ratio (Hedges UMVUE)
    -0.20744
  • df
    246.00000
  • t
    -0.20203
  • p
    0.57997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81124
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28042
  • Upside Potential Ratio
    6.23439
  • Upside part of mean
    0.55826
  • Downside part of mean
    -0.58337
  • Upside SD
    0.08055
  • Downside SD
    0.08955
  • N nonnegative terms
    116.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    247.00000
  • Mean of predictor
    -0.07613
  • Mean of criterion
    -0.02511
  • SD of predictor
    0.18326
  • SD of criterion
    0.12068
  • Covariance
    0.00825
  • r
    0.37316
  • b (slope, estimate of beta)
    0.24573
  • a (intercept, estimate of alpha)
    -0.00640
  • Mean Square Error
    0.01259
  • DF error
    245.00000
  • t(b)
    6.29564
  • p(b)
    0.00000
  • t(a)
    -0.05539
  • p(a)
    0.52206
  • Lowerbound of 95% confidence interval for beta
    0.16885
  • Upperbound of 95% confidence interval for beta
    0.32261
  • Lowerbound of 95% confidence interval for alpha
    -0.23407
  • Upperbound of 95% confidence interval for alpha
    0.22126
  • Treynor index (mean / b)
    -0.10219
  • Jensen alpha (a)
    -0.00640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01228
  • Expected Shortfall on VaR
    0.01535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00521
  • Expected Shortfall on VaR
    0.01093
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    247.00000
  • Minimum
    0.96268
  • Quartile 1
    0.99844
  • Median
    1.00000
  • Quartile 3
    1.00258
  • Maximum
    1.03885
  • Mean of quarter 1
    0.99176
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00782
  • Inter Quartile Range
    0.00414
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.09717
  • Mean of outliers low
    0.98495
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.06883
  • Mean of outliers high
    1.01535
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30460
  • VaR(95%) (moments method)
    0.00608
  • Expected Shortfall (moments method)
    0.01116
  • Extreme Value Index (regression method)
    0.19475
  • VaR(95%) (regression method)
    0.00855
  • Expected Shortfall (regression method)
    0.01478
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00214
  • Median
    0.00865
  • Quartile 3
    0.01836
  • Maximum
    0.16865
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.00865
  • Mean of quarter 3
    0.01836
  • Mean of quarter 4
    0.16865
  • Inter Quartile Range
    0.01621
  • 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
    0.20000
  • Mean of outliers high
    0.16865
  • 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)
    0.00280
  • Compounded annual return (geometric extrapolation)
    0.00280
  • Calmar ratio (compounded annual return / max draw down)
    0.01661
  • Compounded annual return / average of 25% largest draw downs
    0.01661
  • Compounded annual return / Expected Shortfall lognormal
    0.18243
  • 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
    -0.08255
  • SD
    0.14219
  • Sharpe ratio (Glass type estimate)
    -0.58053
  • Sharpe ratio (Hedges UMVUE)
    -0.57717
  • df
    130.00000
  • t
    -0.41049
  • p
    0.51799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.35215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19552
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78485
  • Upside Potential Ratio
    5.58672
  • Upside part of mean
    0.58758
  • Downside part of mean
    -0.67013
  • Upside SD
    0.09502
  • Downside SD
    0.10518
  • 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
    -0.29542
  • Mean of criterion
    -0.08255
  • SD of predictor
    0.23184
  • SD of criterion
    0.14219
  • Covariance
    0.01174
  • r
    0.35603
  • b (slope, estimate of beta)
    0.21836
  • a (intercept, estimate of alpha)
    -0.01804
  • Mean Square Error
    0.01779
  • DF error
    129.00000
  • t(b)
    4.32724
  • p(b)
    0.27823
  • t(a)
    -0.09533
  • p(a)
    0.50534
  • Lowerbound of 95% confidence interval for beta
    0.11852
  • Upperbound of 95% confidence interval for beta
    0.31820
  • Lowerbound of 95% confidence interval for alpha
    -0.39243
  • Upperbound of 95% confidence interval for alpha
    0.35635
  • Treynor index (mean / b)
    -0.37803
  • Jensen alpha (a)
    -0.01804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09260
  • SD
    0.14233
  • Sharpe ratio (Glass type estimate)
    -0.65059
  • Sharpe ratio (Hedges UMVUE)
    -0.64683
  • df
    130.00000
  • t
    -0.46004
  • p
    0.52016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12609
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.87015
  • Upside Potential Ratio
    5.47936
  • Upside part of mean
    0.58308
  • Downside part of mean
    -0.67568
  • Upside SD
    0.09387
  • Downside SD
    0.10641
  • 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
    -0.32235
  • Mean of criterion
    -0.09260
  • SD of predictor
    0.23254
  • SD of criterion
    0.14233
  • Covariance
    0.01172
  • r
    0.35409
  • b (slope, estimate of beta)
    0.21672
  • a (intercept, estimate of alpha)
    -0.02273
  • Mean Square Error
    0.01785
  • DF error
    129.00000
  • t(b)
    4.30032
  • p(b)
    0.27938
  • t(a)
    -0.11987
  • p(a)
    0.50672
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.11701
  • Upperbound of 95% confidence interval for beta
    0.31644
  • Lowerbound of 95% confidence interval for alpha
    -0.39799
  • Upperbound of 95% confidence interval for alpha
    0.35252
  • Treynor index (mean / b)
    -0.42725
  • Jensen alpha (a)
    -0.02273
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01471
  • Expected Shortfall on VaR
    0.01832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00649
  • Expected Shortfall on VaR
    0.01352
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96268
  • Quartile 1
    0.99856
  • Median
    1.00000
  • Quartile 3
    1.00200
  • Maximum
    1.03885
  • Mean of quarter 1
    0.99030
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.00858
  • Inter Quartile Range
    0.00344
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98400
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01488
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24607
  • VaR(95%) (moments method)
    0.00598
  • Expected Shortfall (moments method)
    0.01053
  • Extreme Value Index (regression method)
    0.24823
  • VaR(95%) (regression method)
    0.00946
  • Expected Shortfall (regression method)
    0.01746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.12246
  • Quartile 1
    0.12246
  • Median
    0.12246
  • Quartile 3
    0.12246
  • Maximum
    0.12246
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -307798000
  • Max Equity Drawdown (num days)
    148
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06365
  • Compounded annual return (geometric extrapolation)
    -0.06264
  • Calmar ratio (compounded annual return / max draw down)
    -0.51153
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.42010

Strategy Description

This long swing strategy trades stocks from the S&P100, S&P500, Nasdaq100. The strategy trades with a high percentage of winning positions. This is very comfortable for human mind.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-06-15
Suggested Minimum Capital
$15,000
# Trades
210
# Profitable
139
% Profitable
66.2%
Net Dividends
$383
Correlation S&P500
0.230
Sharpe Ratio
-0.34
Sortino Ratio
-0.46
Beta
0.09
Alpha
-0.01
Leverage
0.68 Average
1.84 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.