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JC Alpha
(78115907)

Created by: JCAlpha JCAlpha
Started: 12/2012
Stocks
Last trade: Yesterday

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 $100.00 per month.

7.2%
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.

(26.5%)
Max Drawdown
2134
Num Trades
66.5%
Win Trades
1.4 : 1
Profit Factor
56.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             (1.1%)(1.1%)
2013(0.7%)(0.6%)(3.2%)(2.3%)+1.4%(2.2%)+1.8%+4.1%+1.6%+0.9%(3.2%)+5.7%+3.1%
2014  -  +5.7%+2.4%+5.2%(3.3%)(14.7%)+18.1%+1.6%(5%)+2.2%(0.9%)+6.8%+15.5%
2015+1.3%+4.0%+0.7%+1.9%+5.5%(2%)+2.3%(5.8%)(2.6%)+5.2%+3.0%+3.3%+17.1%
2016(2%)+5.7%  -  +0.3%+1.9%+3.5%(0.7%)(0.2%)(0.1%)+1.2%+2.5%+0.6%+13.2%
2017+1.2%+1.6%+1.4%(0.1%)(1.6%)+1.3%+1.0%(1%)(4.5%)(0.6%)(1.5%)(0.7%)(3.7%)
2018(2.2%)(4.3%)+0.5%+2.3%+0.7%(2.2%)+0.8%+0.9%+0.1%(4.2%)+9.0%(0.1%)+0.7%
2019+1.3%                                                                  +1.3%

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 2,909 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/18 9:30 MRK MERCK LONG 63 74.32 1/17/19 15:53 75.38 0.18%
Trade id #121568659
Max drawdown($267)
Time12/24/18 14:01
Quant open63
Worst price70.08
Drawdown as % of equity-0.18%
$66
Includes Typical Broker Commissions trade costs of $1.26
1/15/19 9:50 MCD MCDONALD'S SHORT 25 182.37 1/16 15:51 179.57 0.01%
Trade id #121978717
Max drawdown($21)
Time1/15/19 10:03
Quant open-25
Worst price183.21
Drawdown as % of equity-0.01%
$70
Includes Typical Broker Commissions trade costs of $0.50
1/10/19 9:30 CME CME GROUP LONG 26 177.64 1/15 15:50 182.18 0.01%
Trade id #121893713
Max drawdown($11)
Time1/10/19 9:36
Quant open26
Worst price177.21
Drawdown as % of equity-0.01%
$117
Includes Typical Broker Commissions trade costs of $0.52
1/4/19 15:45 GE GENERAL ELECTRIC SHORT 1,087 8.55 1/15 15:47 8.72 0.27%
Trade id #121798995
Max drawdown($468)
Time1/8/19 9:36
Quant open-566
Worst price9.04
Drawdown as % of equity-0.27%
($191)
Includes Typical Broker Commissions trade costs of $7.50
1/4/19 15:44 ITUB ITAU UNIBANCO HOLDING SHORT 466 9.97 1/15 15:45 10.03 0.11%
Trade id #121798933
Max drawdown($192)
Time1/10/19 11:17
Quant open-466
Worst price10.38
Drawdown as % of equity-0.11%
($36)
Includes Typical Broker Commissions trade costs of $9.32
1/10/19 15:53 HPQ HEWLETT-PACKARD SHORT 216 21.49 1/14 15:49 20.75 0%
Trade id #121906550
Max drawdown($4)
Time1/10/19 15:58
Quant open-216
Worst price21.51
Drawdown as % of equity-0.00%
$156
Includes Typical Broker Commissions trade costs of $4.32
1/10/19 15:54 ACN ACCENTURE SHORT 32 146.91 1/14 15:49 145.24 0.01%
Trade id #121906599
Max drawdown($16)
Time1/11/19 11:51
Quant open-32
Worst price147.43
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $0.64
1/10/19 15:54 MSFT MICROSOFT SHORT 45 103.62 1/14 15:49 102.07 0%
Trade id #121906571
Max drawdown($6)
Time1/10/19 16:00
Quant open-45
Worst price103.75
Drawdown as % of equity-0.00%
$69
Includes Typical Broker Commissions trade costs of $0.90
1/10/19 11:35 BLK BLACKROCK SHORT 12 400.19 1/14 15:47 394.17 0.01%
Trade id #121900556
Max drawdown($8)
Time1/10/19 11:42
Quant open-12
Worst price400.92
Drawdown as % of equity-0.01%
$72
Includes Typical Broker Commissions trade costs of $0.24
12/10/18 15:58 ANTM ANTHEM INC LONG 35 265.20 1/14/19 9:30 255.99 0.48%
Trade id #121430935
Max drawdown($840)
Time1/8/19 11:36
Quant open35
Worst price241.18
Drawdown as % of equity-0.48%
($323)
Includes Typical Broker Commissions trade costs of $0.70
1/10/19 10:21 NKE NIKE SHORT 61 76.59 1/11 14:59 76.04 0.03%
Trade id #121896830
Max drawdown($45)
Time1/10/19 10:46
Quant open-61
Worst price77.34
Drawdown as % of equity-0.03%
$33
Includes Typical Broker Commissions trade costs of $1.22
1/10/19 15:55 USB U.S. BANCORP SHORT 98 47.40 1/11 10:14 46.98 0%
Trade id #121906610
Max drawdown($1)
Time1/10/19 15:58
Quant open-98
Worst price47.42
Drawdown as % of equity-0.00%
$39
Includes Typical Broker Commissions trade costs of $1.96
12/7/18 14:53 CSX CSX LONG 144 64.73 1/10/19 15:53 64.93 0.62%
Trade id #121405637
Max drawdown($931)
Time12/26/18 7:26
Quant open144
Worst price58.26
Drawdown as % of equity-0.62%
$26
Includes Typical Broker Commissions trade costs of $2.88
12/7/18 14:56 FDX FEDEX LONG 80 174.86 1/8/19 15:56 166.81 1.27%
Trade id #121405742
Max drawdown($1,913)
Time12/26/18 10:55
Quant open80
Worst price150.94
Drawdown as % of equity-1.27%
($646)
Includes Typical Broker Commissions trade costs of $1.60
12/7/18 14:51 UNH UNITEDHEALTH GROUP LONG 36 253.94 1/8/19 15:56 242.84 0.53%
Trade id #121405559
Max drawdown($796)
Time12/26/18 10:55
Quant open36
Worst price231.81
Drawdown as % of equity-0.53%
($401)
Includes Typical Broker Commissions trade costs of $0.72
12/11/18 15:51 CMCSA COMCAST LONG 263 35.37 1/8/19 15:55 35.81 0.36%
Trade id #121451164
Max drawdown($548)
Time12/26/18 11:01
Quant open126
Worst price32.61
Drawdown as % of equity-0.36%
$112
Includes Typical Broker Commissions trade costs of $5.26
12/20/18 9:30 A AGILENT TECHNOLOGIES LONG 70 66.33 1/8/19 15:53 67.86 0.18%
Trade id #121591823
Max drawdown($303)
Time1/3/19 10:54
Quant open70
Worst price62.00
Drawdown as % of equity-0.18%
$106
Includes Typical Broker Commissions trade costs of $1.40
12/28/18 15:04 YUM YUM BRANDS SHORT 50 92.23 1/8/19 15:52 91.28 0.01%
Trade id #121705135
Max drawdown($23)
Time12/31/18 9:28
Quant open-50
Worst price92.70
Drawdown as % of equity-0.01%
$46
Includes Typical Broker Commissions trade costs of $1.00
12/20/18 15:36 MSFT MICROSOFT LONG 46 102.01 1/8/19 9:47 103.45 0.25%
Trade id #121604990
Max drawdown($383)
Time12/24/18 14:18
Quant open46
Worst price93.67
Drawdown as % of equity-0.25%
$65
Includes Typical Broker Commissions trade costs of $0.92
12/20/18 9:30 ACN ACCENTURE LONG 65 140.90 1/8/19 9:46 145.38 0.28%
Trade id #121591864
Max drawdown($414)
Time12/26/18 10:56
Quant open31
Worst price132.63
Drawdown as % of equity-0.28%
$290
Includes Typical Broker Commissions trade costs of $1.30
1/2/19 10:01 ADBE ADOBE INC LONG 21 221.09 1/8 9:41 232.16 0.09%
Trade id #121744091
Max drawdown($145)
Time1/2/19 17:19
Quant open21
Worst price214.15
Drawdown as % of equity-0.09%
$233
Includes Typical Broker Commissions trade costs of $0.42
12/7/18 14:51 UNP UNION PACIFIC LONG 66 139.87 1/8/19 9:34 151.66 0.53%
Trade id #121405549
Max drawdown($792)
Time12/24/18 16:59
Quant open66
Worst price127.86
Drawdown as % of equity-0.53%
$777
Includes Typical Broker Commissions trade costs of $1.32
12/13/18 15:52 HPQ HEWLETT-PACKARD LONG 440 21.11 1/7/19 15:51 21.01 0.55%
Trade id #121490361
Max drawdown($834)
Time12/26/18 10:21
Quant open440
Worst price19.21
Drawdown as % of equity-0.55%
($53)
Includes Typical Broker Commissions trade costs of $8.80
12/11/18 15:50 AXP AMERICAN EXPRESS LONG 94 98.81 1/7/19 15:51 98.34 0.61%
Trade id #121451148
Max drawdown($917)
Time12/26/18 10:17
Quant open94
Worst price89.05
Drawdown as % of equity-0.61%
($46)
Includes Typical Broker Commissions trade costs of $1.88
12/7/18 14:56 HON HONEYWELL INTERNATIONAL LONG 34 138.34 1/7/19 15:50 135.33 0.34%
Trade id #121405727
Max drawdown($505)
Time12/26/18 10:55
Quant open34
Worst price123.48
Drawdown as % of equity-0.34%
($104)
Includes Typical Broker Commissions trade costs of $0.68
12/20/18 9:30 EOG EOG RESOURCES LONG 50 91.53 1/7/19 15:49 94.63 0.32%
Trade id #121591808
Max drawdown($474)
Time12/26/18 10:01
Quant open50
Worst price82.04
Drawdown as % of equity-0.32%
$154
Includes Typical Broker Commissions trade costs of $1.00
12/7/18 14:50 MCD MCDONALD'S LONG 25 183.45 1/7/19 15:48 180.73 0.24%
Trade id #121405541
Max drawdown($360)
Time12/26/18 11:00
Quant open25
Worst price169.04
Drawdown as % of equity-0.24%
($69)
Includes Typical Broker Commissions trade costs of $0.50
1/3/19 15:42 NKE NIKE LONG 64 72.98 1/7 15:46 75.96 0.04%
Trade id #121772365
Max drawdown($58)
Time1/3/19 19:30
Quant open64
Worst price72.06
Drawdown as % of equity-0.04%
$190
Includes Typical Broker Commissions trade costs of $1.28
1/2/19 9:59 CRM SALESFORCE.COM LONG 35 134.58 1/7 15:45 142.41 0.1%
Trade id #121743994
Max drawdown($160)
Time1/3/19 19:35
Quant open35
Worst price130.00
Drawdown as % of equity-0.10%
$273
Includes Typical Broker Commissions trade costs of $0.70
12/11/18 15:55 NOV NATIONAL OILWELL VARCO LONG 350 26.44 1/4/19 15:49 26.72 0.5%
Trade id #121451308
Max drawdown($758)
Time12/26/18 10:01
Quant open350
Worst price24.27
Drawdown as % of equity-0.50%
$93
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    12/12/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2229.2
  • Age
    74 months ago
  • What it trades
    Stocks
  • # Trades
    2134
  • # Profitable
    1420
  • % Profitable
    66.50%
  • Avg trade duration
    13.3 days
  • Max peak-to-valley drawdown
    26.48%
  • drawdown period
    Dec 03, 2016 - Oct 26, 2018
  • Annual Return (Compounded)
    7.2%
  • Avg win
    $214.39
  • Avg loss
    $332.31
  • Model Account Values (Raw)
  • Cash
    $371,982
  • Margin Used
    $294,595
  • Buying Power
    $70,382
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.468
  • Sortino Ratio
    0.734
  • Calmar Ratio
    0.399
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27300
  • Return Statistics
  • Ann Return (w trading costs)
    7.2%
  • Ann Return (Compnd, No Fees)
    8.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.50%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    589
  • Popularity (Last 6 weeks)
    840
  • C2 Score
    72.7
  • 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
    $332
  • Avg Win
    $214
  • # Winners
    1420
  • # Losers
    714
  • % Winners
    66.5%
  • Frequency
  • Avg Position Time (mins)
    19095.90
  • Avg Position Time (hrs)
    318.26
  • Avg Trade Length
    13.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07184
  • SD
    0.15220
  • Sharpe ratio (Glass type estimate)
    0.47202
  • Sharpe ratio (Hedges UMVUE)
    0.46694
  • df
    70.00000
  • t
    1.14814
  • p
    0.12741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27641
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76479
  • Upside Potential Ratio
    2.29756
  • Upside part of mean
    0.21582
  • Downside part of mean
    -0.14398
  • Upside SD
    0.12019
  • Downside SD
    0.09394
  • N nonnegative terms
    41.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.07363
  • Mean of criterion
    0.07184
  • SD of predictor
    0.11087
  • SD of criterion
    0.15220
  • Covariance
    0.00263
  • r
    0.15586
  • b (slope, estimate of beta)
    0.21396
  • a (intercept, estimate of alpha)
    0.05609
  • Mean Square Error
    0.02293
  • DF error
    69.00000
  • t(b)
    1.31068
  • p(b)
    0.09716
  • t(a)
    0.88460
  • p(a)
    0.18972
  • Lowerbound of 95% confidence interval for beta
    -0.11170
  • Upperbound of 95% confidence interval for beta
    0.53963
  • Lowerbound of 95% confidence interval for alpha
    -0.07040
  • Upperbound of 95% confidence interval for alpha
    0.18257
  • Treynor index (mean / b)
    0.33577
  • Jensen alpha (a)
    0.05609
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06032
  • SD
    0.15010
  • Sharpe ratio (Glass type estimate)
    0.40188
  • Sharpe ratio (Hedges UMVUE)
    0.39756
  • df
    70.00000
  • t
    0.97754
  • p
    0.16583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20898
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20601
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61679
  • Upside Potential Ratio
    2.13307
  • Upside part of mean
    0.20862
  • Downside part of mean
    -0.14830
  • Upside SD
    0.11381
  • Downside SD
    0.09780
  • N nonnegative terms
    41.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.06716
  • Mean of criterion
    0.06032
  • SD of predictor
    0.11169
  • SD of criterion
    0.15010
  • Covariance
    0.00298
  • r
    0.17803
  • b (slope, estimate of beta)
    0.23927
  • a (intercept, estimate of alpha)
    0.04426
  • Mean Square Error
    0.02213
  • DF error
    69.00000
  • t(b)
    1.50286
  • p(b)
    0.06872
  • t(a)
    0.71276
  • p(a)
    0.23920
  • Lowerbound of 95% confidence interval for beta
    -0.07835
  • Upperbound of 95% confidence interval for beta
    0.55689
  • Lowerbound of 95% confidence interval for alpha
    -0.07961
  • Upperbound of 95% confidence interval for alpha
    0.16812
  • Treynor index (mean / b)
    0.25211
  • Jensen alpha (a)
    0.04426
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06410
  • Expected Shortfall on VaR
    0.08078
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02449
  • Expected Shortfall on VaR
    0.05139
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.88279
  • Quartile 1
    0.99330
  • Median
    1.00872
  • Quartile 3
    1.02765
  • Maximum
    1.18805
  • Mean of quarter 1
    0.95796
  • Mean of quarter 2
    1.00094
  • Mean of quarter 3
    1.01628
  • Mean of quarter 4
    1.05853
  • Inter Quartile Range
    0.03435
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.07042
  • Mean of outliers low
    0.91767
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04225
  • Mean of outliers high
    1.12645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.57205
  • VaR(95%) (moments method)
    0.02584
  • Expected Shortfall (moments method)
    0.03051
  • Extreme Value Index (regression method)
    -0.04233
  • VaR(95%) (regression method)
    0.05233
  • Expected Shortfall (regression method)
    0.07830
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00288
  • Quartile 1
    0.01872
  • Median
    0.06090
  • Quartile 3
    0.12367
  • Maximum
    0.15103
  • Mean of quarter 1
    0.00901
  • Mean of quarter 2
    0.04810
  • Mean of quarter 3
    0.07548
  • Mean of quarter 4
    0.14226
  • Inter Quartile Range
    0.10495
  • 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)
    -0.93478
  • VaR(95%) (moments method)
    0.14958
  • Expected Shortfall (moments method)
    0.15206
  • Extreme Value Index (regression method)
    0.52449
  • VaR(95%) (regression method)
    0.15315
  • Expected Shortfall (regression method)
    0.18540
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11585
  • Compounded annual return (geometric extrapolation)
    0.09224
  • Calmar ratio (compounded annual return / max draw down)
    0.61075
  • Compounded annual return / average of 25% largest draw downs
    0.64841
  • Compounded annual return / Expected Shortfall lognormal
    1.14194
  • 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
    0.07170
  • SD
    0.15306
  • Sharpe ratio (Glass type estimate)
    0.46846
  • Sharpe ratio (Hedges UMVUE)
    0.46823
  • df
    1569.00000
  • t
    1.14675
  • p
    0.48158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33260
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26906
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73409
  • Upside Potential Ratio
    7.50673
  • Upside part of mean
    0.73320
  • Downside part of mean
    -0.66150
  • Upside SD
    0.11786
  • Downside SD
    0.09767
  • N nonnegative terms
    752.00000
  • N negative terms
    818.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1570.00000
  • Mean of predictor
    0.08513
  • Mean of criterion
    0.07170
  • SD of predictor
    0.13104
  • SD of criterion
    0.15306
  • Covariance
    0.00580
  • r
    0.28938
  • b (slope, estimate of beta)
    0.33798
  • a (intercept, estimate of alpha)
    0.04300
  • Mean Square Error
    0.02148
  • DF error
    1568.00000
  • t(b)
    11.97090
  • p(b)
    0.35531
  • t(a)
    0.71645
  • p(a)
    0.49095
  • Lowerbound of 95% confidence interval for beta
    0.28260
  • Upperbound of 95% confidence interval for beta
    0.39336
  • Lowerbound of 95% confidence interval for alpha
    -0.07460
  • Upperbound of 95% confidence interval for alpha
    0.16045
  • Treynor index (mean / b)
    0.21214
  • Jensen alpha (a)
    0.04293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06006
  • SD
    0.15226
  • Sharpe ratio (Glass type estimate)
    0.39448
  • Sharpe ratio (Hedges UMVUE)
    0.39429
  • df
    1569.00000
  • t
    0.96567
  • p
    0.48449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19522
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19507
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60727
  • Upside Potential Ratio
    7.34376
  • Upside part of mean
    0.72634
  • Downside part of mean
    -0.66628
  • Upside SD
    0.11575
  • Downside SD
    0.09891
  • N nonnegative terms
    752.00000
  • N negative terms
    818.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1570.00000
  • Mean of predictor
    0.07651
  • Mean of criterion
    0.06006
  • SD of predictor
    0.13122
  • SD of criterion
    0.15226
  • Covariance
    0.00583
  • r
    0.29173
  • b (slope, estimate of beta)
    0.33851
  • a (intercept, estimate of alpha)
    0.03416
  • Mean Square Error
    0.02122
  • DF error
    1568.00000
  • t(b)
    12.07740
  • p(b)
    0.35413
  • t(a)
    0.57366
  • p(a)
    0.49276
  • Lowerbound of 95% confidence interval for beta
    0.28353
  • Upperbound of 95% confidence interval for beta
    0.39349
  • Lowerbound of 95% confidence interval for alpha
    -0.08265
  • Upperbound of 95% confidence interval for alpha
    0.15097
  • Treynor index (mean / b)
    0.17743
  • Jensen alpha (a)
    0.03416
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01513
  • Expected Shortfall on VaR
    0.01898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00589
  • Expected Shortfall on VaR
    0.01225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1570.00000
  • Minimum
    0.94976
  • Quartile 1
    0.99744
  • Median
    0.99996
  • Quartile 3
    1.00258
  • Maximum
    1.09726
  • Mean of quarter 1
    0.99128
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    1.01027
  • Inter Quartile Range
    0.00514
  • Number outliers low
    91.00000
  • Percentage of outliers low
    0.05796
  • Mean of outliers low
    0.97914
  • Number of outliers high
    125.00000
  • Percentage of outliers high
    0.07962
  • Mean of outliers high
    1.02103
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55977
  • VaR(95%) (moments method)
    0.00881
  • Expected Shortfall (moments method)
    0.02222
  • Extreme Value Index (regression method)
    0.29370
  • VaR(95%) (regression method)
    0.00747
  • Expected Shortfall (regression method)
    0.01289
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00177
  • Median
    0.00668
  • Quartile 3
    0.01804
  • Maximum
    0.23074
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00378
  • Mean of quarter 3
    0.01030
  • Mean of quarter 4
    0.07414
  • Inter Quartile Range
    0.01628
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40297
  • VaR(95%) (moments method)
    0.06445
  • Expected Shortfall (moments method)
    0.13149
  • Extreme Value Index (regression method)
    0.38320
  • VaR(95%) (regression method)
    0.08645
  • Expected Shortfall (regression method)
    0.17872
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11583
  • Compounded annual return (geometric extrapolation)
    0.09196
  • Calmar ratio (compounded annual return / max draw down)
    0.39853
  • Compounded annual return / average of 25% largest draw downs
    1.24032
  • Compounded annual return / Expected Shortfall lognormal
    4.84357
  • 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
    0.11876
  • SD
    0.17887
  • Sharpe ratio (Glass type estimate)
    0.66394
  • Sharpe ratio (Hedges UMVUE)
    0.66010
  • df
    130.00000
  • t
    0.46947
  • p
    0.47943
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43307
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04476
  • Upside Potential Ratio
    7.91973
  • Upside part of mean
    0.90022
  • Downside part of mean
    -0.78146
  • Upside SD
    0.13741
  • Downside SD
    0.11367
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11177
  • Mean of criterion
    0.11876
  • SD of predictor
    0.18773
  • SD of criterion
    0.17887
  • Covariance
    0.01699
  • r
    0.50608
  • b (slope, estimate of beta)
    0.48219
  • a (intercept, estimate of alpha)
    0.17265
  • Mean Square Error
    0.02398
  • DF error
    129.00000
  • t(b)
    6.66444
  • p(b)
    0.19215
  • t(a)
    0.78776
  • p(a)
    0.45599
  • Lowerbound of 95% confidence interval for beta
    0.33904
  • Upperbound of 95% confidence interval for beta
    0.62534
  • Lowerbound of 95% confidence interval for alpha
    -0.26097
  • Upperbound of 95% confidence interval for alpha
    0.60627
  • Treynor index (mean / b)
    0.24629
  • Jensen alpha (a)
    0.17265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10295
  • SD
    0.17801
  • Sharpe ratio (Glass type estimate)
    0.57835
  • Sharpe ratio (Hedges UMVUE)
    0.57500
  • df
    130.00000
  • t
    0.40895
  • p
    0.48208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34769
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89484
  • Upside Potential Ratio
    7.74361
  • Upside part of mean
    0.89089
  • Downside part of mean
    -0.78794
  • Upside SD
    0.13509
  • Downside SD
    0.11505
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12927
  • Mean of criterion
    0.10295
  • SD of predictor
    0.18772
  • SD of criterion
    0.17801
  • Covariance
    0.01701
  • r
    0.50901
  • b (slope, estimate of beta)
    0.48268
  • a (intercept, estimate of alpha)
    0.16534
  • Mean Square Error
    0.02366
  • DF error
    129.00000
  • t(b)
    6.71646
  • p(b)
    0.19055
  • t(a)
    0.75942
  • p(a)
    0.45756
  • Lowerbound of 95% confidence interval for beta
    0.34049
  • Upperbound of 95% confidence interval for beta
    0.62487
  • Lowerbound of 95% confidence interval for alpha
    -0.26543
  • Upperbound of 95% confidence interval for alpha
    0.59612
  • Treynor index (mean / b)
    0.21329
  • Jensen alpha (a)
    0.16534
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01754
  • Expected Shortfall on VaR
    0.02204
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00654
  • Expected Shortfall on VaR
    0.01371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96495
  • Quartile 1
    0.99764
  • Median
    1.00023
  • Quartile 3
    1.00263
  • Maximum
    1.05544
  • Mean of quarter 1
    0.98933
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00138
  • Mean of quarter 4
    1.01250
  • Inter Quartile Range
    0.00499
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98058
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02183
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44612
  • VaR(95%) (moments method)
    0.00912
  • Expected Shortfall (moments method)
    0.01983
  • Extreme Value Index (regression method)
    0.21381
  • VaR(95%) (regression method)
    0.01112
  • Expected Shortfall (regression method)
    0.01928
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00288
  • Quartile 1
    0.00850
  • Median
    0.02456
  • Quartile 3
    0.05262
  • Maximum
    0.10095
  • Mean of quarter 1
    0.00597
  • Mean of quarter 2
    0.01720
  • Mean of quarter 3
    0.03979
  • Mean of quarter 4
    0.09802
  • Inter Quartile Range
    0.04412
  • 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)
    -214.19100
  • VaR(95%) (moments method)
    0.08548
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.85469
  • VaR(95%) (regression method)
    0.15766
  • Expected Shortfall (regression method)
    0.15775
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13523
  • Compounded annual return (geometric extrapolation)
    0.13981
  • Calmar ratio (compounded annual return / max draw down)
    1.38486
  • Compounded annual return / average of 25% largest draw downs
    1.42633
  • Compounded annual return / Expected Shortfall lognormal
    6.34420

Strategy Description

Using a list of 60 US listed companies, the model uses extreme situations of fear and greed in each stock to detect signals that indicate reverse to the means. Usually each name is traded 5 to 10 times a year, both on the long and short side, with an average holding period of 13 working days. The idea is to have the minimum market exposure with a consistent positive performance. The model is based on a back-test since 2007. On average, the model has net long exposure of 10%,. During this period of back-test, the annual returns were the following: 2007 = 12.5%, 2008 = 58%, 2009 = 24%, 2010 = 5.7%, 2011 = 16,3% , 2012 = 7.05%, 75% of positive monthly return, worst month had a performance of -19% (October 2008 ) and the best month 24% (November 2008).
Each new position represents 3% but can go up to 9% in extreme situations of fear/greed sentiment on the stock. The maximum exposure is 150% of the value of the portfolio.
These results represent hypothetical backtesting.
Target return 10%-12%.

Summary Statistics

Strategy began
2012-12-12
Suggested Minimum Capital
$35,000
# Trades
2134
# Profitable
1420
% Profitable
66.5%
Net Dividends
Correlation S&P500
0.273
Sharpe Ratio
0.468

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

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