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Carma Stocks ex US
(95709284)

Created by: CarmaAdvisory CarmaAdvisory
Started: 07/2015
Stocks
Last trade: Yesterday
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 $49.00 per month.

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).
8.7%
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.

(10.9%)
Max Drawdown
445
Num Trades
67.2%
Win Trades
1.7 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +1.0%+5.1%(0.1%)  -  (2.6%)(3.5%)(0.2%)
2016+1.1%(1.4%)+2.9%+1.8%+4.1%+3.8%+0.8%+1.1%+1.5%+1.2%+3.0%+1.9%+24.0%
2017(3%)(2.2%)+0.1%(1.8%)+0.1%  -  (0.2%)(1%)  -    -  (1.3%)+0.9%(8.2%)
2018  -  (0.8%)+1.7%+2.0%(0.8%)+4.7%+4.2%  -  (0.5%)+1.3%+3.6%+2.9%+19.6%
2019(2%)+0.7%+1.6%                                                      +0.3%

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 281 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/19 6:23 LSE.SYNC SYNCONA LIMITED LONG 3,733 £2.745 3/20 4:00 £2.460 n/a ($1,419)
Includes Typical Broker Commissions trade costs of $19.43
3/15/19 14:05 TSX.ELD ELDORADO GOLD CORP LONG 3,071 CAD 5.90 3/19 12:42 CAD 6.03 n/a $262
Includes Typical Broker Commissions trade costs of $36.64
3/15/19 15:21 TSX.AGI ALAMOS GOLD CLASS A LONG 2,750 CAD 6.59 3/18 9:31 CAD 6.65 2.21%
Trade id #122933158
Max drawdown($3,425)
Time3/15/19 15:31
Quant open2,750
Worst price4.93
Drawdown as % of equity-2.21%
$88
Includes Typical Broker Commissions trade costs of $36.41
3/8/19 3:00 LSE.SAGA SAGA PLC LONG 8,752 £1.172 3/14 4:00 £1.167 0.59%
Trade id #122830742
Max drawdown($904)
Time3/8/19 8:33
Quant open8,752
Worst price1.094
Drawdown as % of equity-0.59%
($77)
Includes Typical Broker Commissions trade costs of $20.47
3/11/19 4:03 LSE.CNE CAIRN ENERGY PLC LONG 5,892 £1.739 3/13 10:03 £1.677 0.31%
Trade id #122861988
Max drawdown($477)
Time3/13/19 10:03
Quant open0
Worst price1.677
Drawdown as % of equity-0.31%
($497)
Includes Typical Broker Commissions trade costs of $20.13
3/8/19 9:30 TSX.CRON CRONOS GROUP INC LONG 627 CAD 28.81 3/12 12:53 CAD 29.33 2.52%
Trade id #122833729
Max drawdown($3,894)
Time3/12/19 9:33
Quant open627
Worst price20.53
Drawdown as % of equity-2.52%
$207
Includes Typical Broker Commissions trade costs of $36.45
3/7/19 9:38 TSX.LUN LUNDIN MINING CORPORATION LONG 2,771 CAD 6.45 3/12 9:30 CAD 6.48 n/a $26
Includes Typical Broker Commissions trade costs of $35.83
3/8/19 9:30 TSX.HBM HUDBAY MINERALS INC LONG 2,103 CAD 8.65 3/11 9:30 CAD 9.25 2.31%
Trade id #122833814
Max drawdown($3,548)
Time3/8/19 10:14
Quant open2,103
Worst price6.40
Drawdown as % of equity-2.31%
$902
Includes Typical Broker Commissions trade costs of $37.64
3/8/19 7:03 LSE.IAG INTERNATIONAL CONSOLIDATED AIRLINES GROUP S.A. LONG 2,073 £4.988 3/11 5:45 £5.446 n/a $1,218
Includes Typical Broker Commissions trade costs of $21.63
3/4/19 9:35 TSX.CG CENTERRA GOLD INC LONG 2,750 CAD 6.46 3/7 9:44 CAD 6.55 n/a $150
Includes Typical Broker Commissions trade costs of $35.78
3/4/19 9:30 TSX.KL KIRKLAND LAKE GOLD INC LONG 392 CAD 45.32 3/6 11:56 CAD 46.43 2.5%
Trade id #122770822
Max drawdown($3,816)
Time3/4/19 9:40
Quant open392
Worst price32.25
Drawdown as % of equity-2.50%
$291
Includes Typical Broker Commissions trade costs of $35.97
3/1/19 14:13 TSX.FR FIRST MAJESTIC SILVER CORP LONG 2,083 CAD 8.53 3/6 9:30 CAD 8.61 n/a $89
Includes Typical Broker Commissions trade costs of $35.70
3/1/19 3:17 LSE.HWDN HOWDEN JOINERY GROUP PLC LONG 2,085 £4.903 3/6 3:48 £4.925 0.12%
Trade id #122744042
Max drawdown($186)
Time3/1/19 7:50
Quant open2,085
Worst price4.834
Drawdown as % of equity-0.12%
$41
Includes Typical Broker Commissions trade costs of $20.49
2/27/19 6:47 LSE.MGGT MEGGITT PLC LONG 1,919 £5.326 3/6 3:43 £5.356 0.11%
Trade id #122710210
Max drawdown($169)
Time3/5/19 10:00
Quant open1,919
Worst price5.258
Drawdown as % of equity-0.11%
$57
Includes Typical Broker Commissions trade costs of $20.50
3/4/19 9:30 TSX.SSL SANDSTORM GOLD LTD WTS LONG 2,523 CAD 7.04 3/5 9:36 CAD 7.33 n/a $514
Includes Typical Broker Commissions trade costs of $36.25
2/26/19 3:00 LSE.ACA ACACIA MINING PLC LONG 4,372 £2.302 3/4 3:00 £2.200 0.72%
Trade id #122679744
Max drawdown($1,098)
Time3/1/19 10:48
Quant open4,372
Worst price2.109
Drawdown as % of equity-0.72%
($606)
Includes Typical Broker Commissions trade costs of $19.68
2/27/19 3:02 LSE.MTRO METRO BANK PLC LONG 873 £10.000 2/28 3:00 £9.745 0.57%
Trade id #122708443
Max drawdown($862)
Time2/27/19 11:22
Quant open873
Worst price9.250
Drawdown as % of equity-0.57%
($312)
Includes Typical Broker Commissions trade costs of $17.24
2/21/19 9:31 TSX.BHC BAUSCH HEALTH COS INC LONG 571 CAD 31.38 2/27 9:44 CAD 31.01 2.39%
Trade id #122618150
Max drawdown($3,655)
Time2/26/19 9:33
Quant open571
Worst price22.88
Drawdown as % of equity-2.39%
($196)
Includes Typical Broker Commissions trade costs of $35.63
2/25/19 9:31 TSX.CRON CRONOS GROUP INC LONG 646 CAD 27.73 2/26 12:13 CAD 28.48 2.62%
Trade id #122666400
Max drawdown($3,998)
Time2/26/19 9:31
Quant open646
Worst price19.50
Drawdown as % of equity-2.62%
$332
Includes Typical Broker Commissions trade costs of $36.31
2/19/19 3:50 LSE.PLUS PLUS500 LTD LONG 1,439 £7.255 2/20 3:00 £7.390 0.4%
Trade id #122580158
Max drawdown($610)
Time2/19/19 8:58
Quant open1,439
Worst price6.930
Drawdown as % of equity-0.40%
$230
Includes Typical Broker Commissions trade costs of $21.07
2/13/19 9:35 TSX.ABX BARRICK GOLD CORP LONG 1,039 CAD 16.96 2/19 9:30 CAD 17.38 n/a $294
Includes Typical Broker Commissions trade costs of $35.68
2/13/19 9:30 TSX.WFT WEST FRASER TIMBER CO LTD LONG 263 CAD 67.00 2/14 9:30 CAD 72.09 8.52%
Trade id #122499657
Max drawdown($13,144)
Time2/13/19 9:35
Quant open263
Worst price0.86
Drawdown as % of equity-8.52%
$973
Includes Typical Broker Commissions trade costs of $36.58
2/7/19 3:01 LSE.OCDO OCADO GROUP PLC LONG 1,084 £9.558 2/11 7:07 £9.342 1.11%
Trade id #122409372
Max drawdown($1,668)
Time2/7/19 9:10
Quant open1,084
Worst price8.364
Drawdown as % of equity-1.11%
($323)
Includes Typical Broker Commissions trade costs of $20.49
1/29/19 7:41 LSE.PETS PETS AT HOME GROUP PLC LONG 7,603 £1.359 2/11 3:00 £1.300 0.71%
Trade id #122238008
Max drawdown($1,067)
Time2/8/19 3:01
Quant open7,603
Worst price1.250
Drawdown as % of equity-0.71%
($611)
Includes Typical Broker Commissions trade costs of $20.21
2/5/19 7:00 LSE.PDG PENDRAGON PLC LONG 42,092 £0.247 2/6 4:00 £0.250 0.07%
Trade id #122359157
Max drawdown($108)
Time2/6/19 3:14
Quant open42,092
Worst price0.245
Drawdown as % of equity-0.07%
$143
Includes Typical Broker Commissions trade costs of $20.92
2/1/19 5:31 LSE.GNC GREENCORE GROUP PLC LONG 5,447 £1.899 2/5 3:00 £1.960 0.3%
Trade id #122308960
Max drawdown($461)
Time2/1/19 11:21
Quant open5,447
Worst price1.833
Drawdown as % of equity-0.30%
$413
Includes Typical Broker Commissions trade costs of $21.02
1/30/19 11:25 LSE.MTRO METRO BANK PLC LONG 854 £12.090 2/4 3:00 £12.030 1.07%
Trade id #122269887
Max drawdown($1,612)
Time1/31/19 10:03
Quant open854
Worst price10.630
Drawdown as % of equity-1.07%
($88)
Includes Typical Broker Commissions trade costs of $20.59
2/1/19 3:00 LSE.PDG PENDRAGON PLC LONG 40,844 £0.250 2/4 3:00 £0.260 n/a $515
Includes Typical Broker Commissions trade costs of $20.83
1/29/19 3:08 LSE.DOM DOMINO'S PIZZA GROUP PLC LONG 4,195 £2.460 1/30 3:00 £2.513 0.07%
Trade id #122235080
Max drawdown($102)
Time1/29/19 3:11
Quant open4,195
Worst price2.441
Drawdown as % of equity-0.07%
$271
Includes Typical Broker Commissions trade costs of $20.86
1/23/19 3:09 LSE.MARS MARSTON'S PLC LONG 10,593 £0.981 1/28 3:00 £0.974 0.41%
Trade id #122124647
Max drawdown($626)
Time1/24/19 10:01
Quant open10,593
Worst price0.935
Drawdown as % of equity-0.41%
($110)
Includes Typical Broker Commissions trade costs of $20.71

Statistics

  • Strategy began
    7/6/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1353.94
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    445
  • # Profitable
    299
  • % Profitable
    67.20%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    10.85%
  • drawdown period
    Dec 20, 2016 - Feb 11, 2018
  • Annual Return (Compounded)
    8.7%
  • Avg win
    $435.23
  • Avg loss
    $517.12
  • Model Account Values (Raw)
  • Cash
    $155,215
  • Margin Used
    $0
  • Buying Power
    $155,215
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.296
  • Sortino Ratio
    1.943
  • Calmar Ratio
    1.566
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15500
  • Return Statistics
  • Ann Return (w trading costs)
    8.7%
  • Ann Return (Compnd, No Fees)
    12.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    526
  • Popularity (Last 6 weeks)
    838
  • C2 Score
    95.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $517
  • Avg Win
    $435
  • # Winners
    299
  • # Losers
    146
  • % Winners
    67.2%
  • Frequency
  • Avg Position Time (mins)
    5737.78
  • Avg Position Time (hrs)
    95.63
  • Avg Trade Length
    4.0 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
    0.09841
  • SD
    0.08800
  • Sharpe ratio (Glass type estimate)
    1.11832
  • Sharpe ratio (Hedges UMVUE)
    1.09821
  • df
    42.00000
  • t
    2.11695
  • p
    0.02011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15990
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52220
  • Upside Potential Ratio
    4.09987
  • Upside part of mean
    0.15997
  • Downside part of mean
    -0.06156
  • Upside SD
    0.08275
  • Downside SD
    0.03902
  • N nonnegative terms
    26.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.06745
  • Mean of criterion
    0.09841
  • SD of predictor
    0.13107
  • SD of criterion
    0.08800
  • Covariance
    0.00012
  • r
    0.01053
  • b (slope, estimate of beta)
    0.00707
  • a (intercept, estimate of alpha)
    0.09793
  • Mean Square Error
    0.00793
  • DF error
    41.00000
  • t(b)
    0.06744
  • p(b)
    0.47328
  • t(a)
    2.05845
  • p(a)
    0.02297
  • Lowerbound of 95% confidence interval for beta
    -0.20467
  • Upperbound of 95% confidence interval for beta
    0.21881
  • Lowerbound of 95% confidence interval for alpha
    0.00185
  • Upperbound of 95% confidence interval for alpha
    0.19401
  • Treynor index (mean / b)
    13.91800
  • Jensen alpha (a)
    0.09793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09414
  • SD
    0.08602
  • Sharpe ratio (Glass type estimate)
    1.09435
  • Sharpe ratio (Hedges UMVUE)
    1.07467
  • df
    42.00000
  • t
    2.07156
  • p
    0.02224
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02683
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13526
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38045
  • Upside Potential Ratio
    3.95296
  • Upside part of mean
    0.15633
  • Downside part of mean
    -0.06219
  • Upside SD
    0.08002
  • Downside SD
    0.03955
  • N nonnegative terms
    26.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.05879
  • Mean of criterion
    0.09414
  • SD of predictor
    0.13073
  • SD of criterion
    0.08602
  • Covariance
    0.00013
  • r
    0.01192
  • b (slope, estimate of beta)
    0.00784
  • a (intercept, estimate of alpha)
    0.09368
  • Mean Square Error
    0.00758
  • DF error
    41.00000
  • t(b)
    0.07633
  • p(b)
    0.46976
  • t(a)
    2.01952
  • p(a)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.19968
  • Upperbound of 95% confidence interval for beta
    0.21536
  • Lowerbound of 95% confidence interval for alpha
    -0.00000
  • Upperbound of 95% confidence interval for alpha
    0.18736
  • Treynor index (mean / b)
    12.00220
  • Jensen alpha (a)
    0.09368
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03246
  • Expected Shortfall on VaR
    0.04241
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01004
  • Expected Shortfall on VaR
    0.02105
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.96148
  • Quartile 1
    0.99892
  • Median
    1.00894
  • Quartile 3
    1.02203
  • Maximum
    1.10523
  • Mean of quarter 1
    0.98339
  • Mean of quarter 2
    1.00241
  • Mean of quarter 3
    1.01525
  • Mean of quarter 4
    1.04150
  • Inter Quartile Range
    0.02311
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.96148
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02326
  • Mean of outliers high
    1.10523
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.18765
  • VaR(95%) (moments method)
    0.00669
  • Expected Shortfall (moments method)
    0.00672
  • Extreme Value Index (regression method)
    -0.16962
  • VaR(95%) (regression method)
    0.01512
  • Expected Shortfall (regression method)
    0.02128
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00776
  • Median
    0.03684
  • Quartile 3
    0.06429
  • Maximum
    0.06676
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.01022
  • Mean of quarter 3
    0.06346
  • Mean of quarter 4
    0.06676
  • Inter Quartile Range
    0.05653
  • 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)
    0.15309
  • Compounded annual return (geometric extrapolation)
    0.12981
  • Calmar ratio (compounded annual return / max draw down)
    1.94433
  • Compounded annual return / average of 25% largest draw downs
    1.94433
  • Compounded annual return / Expected Shortfall lognormal
    3.06075
  • 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
    0.09707
  • SD
    0.07486
  • Sharpe ratio (Glass type estimate)
    1.29679
  • Sharpe ratio (Hedges UMVUE)
    1.29575
  • df
    941.00000
  • t
    2.45892
  • p
    0.00706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33106
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94287
  • Upside Potential Ratio
    6.76677
  • Upside part of mean
    0.33809
  • Downside part of mean
    -0.24102
  • Upside SD
    0.05601
  • Downside SD
    0.04996
  • N nonnegative terms
    406.00000
  • N negative terms
    536.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    942.00000
  • Mean of predictor
    0.06848
  • Mean of criterion
    0.09707
  • SD of predictor
    0.13992
  • SD of criterion
    0.07486
  • Covariance
    0.00165
  • r
    0.15715
  • b (slope, estimate of beta)
    0.08407
  • a (intercept, estimate of alpha)
    0.09100
  • Mean Square Error
    0.00547
  • DF error
    940.00000
  • t(b)
    4.87859
  • p(b)
    0.00000
  • t(a)
    2.33986
  • p(a)
    0.00975
  • Lowerbound of 95% confidence interval for beta
    0.05025
  • Upperbound of 95% confidence interval for beta
    0.11789
  • Lowerbound of 95% confidence interval for alpha
    0.01473
  • Upperbound of 95% confidence interval for alpha
    0.16790
  • Treynor index (mean / b)
    1.15461
  • Jensen alpha (a)
    0.09132
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09425
  • SD
    0.07487
  • Sharpe ratio (Glass type estimate)
    1.25888
  • Sharpe ratio (Hedges UMVUE)
    1.25788
  • df
    941.00000
  • t
    2.38704
  • p
    0.00859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29309
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86639
  • Upside Potential Ratio
    6.66394
  • Upside part of mean
    0.33651
  • Downside part of mean
    -0.24226
  • Upside SD
    0.05552
  • Downside SD
    0.05050
  • N nonnegative terms
    406.00000
  • N negative terms
    536.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    942.00000
  • Mean of predictor
    0.05867
  • Mean of criterion
    0.09425
  • SD of predictor
    0.14013
  • SD of criterion
    0.07487
  • Covariance
    0.00166
  • r
    0.15854
  • b (slope, estimate of beta)
    0.08470
  • a (intercept, estimate of alpha)
    0.08928
  • Mean Square Error
    0.00547
  • DF error
    940.00000
  • t(b)
    4.92305
  • p(b)
    0.00000
  • t(a)
    2.28816
  • p(a)
    0.01117
  • Lowerbound of 95% confidence interval for beta
    0.05094
  • Upperbound of 95% confidence interval for beta
    0.11847
  • Lowerbound of 95% confidence interval for alpha
    0.01271
  • Upperbound of 95% confidence interval for alpha
    0.16585
  • Treynor index (mean / b)
    1.11270
  • Jensen alpha (a)
    0.08928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00722
  • Expected Shortfall on VaR
    0.00914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00223
  • Expected Shortfall on VaR
    0.00499
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    942.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00114
  • Maximum
    1.03954
  • Mean of quarter 1
    0.99661
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00496
  • Inter Quartile Range
    0.00144
  • Number outliers low
    89.00000
  • Percentage of outliers low
    0.09448
  • Mean of outliers low
    0.99273
  • Number of outliers high
    121.00000
  • Percentage of outliers high
    0.12845
  • Mean of outliers high
    1.00772
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58650
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00878
  • Extreme Value Index (regression method)
    0.39547
  • VaR(95%) (regression method)
    0.00310
  • Expected Shortfall (regression method)
    0.00686
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00057
  • Median
    0.00189
  • Quartile 3
    0.00878
  • Maximum
    0.08297
  • Mean of quarter 1
    0.00026
  • Mean of quarter 2
    0.00128
  • Mean of quarter 3
    0.00514
  • Mean of quarter 4
    0.03054
  • Inter Quartile Range
    0.00822
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12766
  • Mean of outliers high
    0.04618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06600
  • VaR(95%) (moments method)
    0.02456
  • Expected Shortfall (moments method)
    0.03601
  • Extreme Value Index (regression method)
    -0.00555
  • VaR(95%) (regression method)
    0.03670
  • Expected Shortfall (regression method)
    0.05383
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15338
  • Compounded annual return (geometric extrapolation)
    0.12993
  • Calmar ratio (compounded annual return / max draw down)
    1.56605
  • Compounded annual return / average of 25% largest draw downs
    4.25365
  • Compounded annual return / Expected Shortfall lognormal
    14.21950
  • 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
    0.15615
  • SD
    0.11420
  • Sharpe ratio (Glass type estimate)
    1.36729
  • Sharpe ratio (Hedges UMVUE)
    1.35938
  • df
    130.00000
  • t
    0.96682
  • p
    0.45775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13611
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05936
  • Upside Potential Ratio
    7.73989
  • Upside part of mean
    0.58686
  • Downside part of mean
    -0.43071
  • Upside SD
    0.08536
  • Downside SD
    0.07582
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05423
  • Mean of criterion
    0.15615
  • SD of predictor
    0.19185
  • SD of criterion
    0.11420
  • Covariance
    0.00113
  • r
    0.05139
  • b (slope, estimate of beta)
    0.03059
  • a (intercept, estimate of alpha)
    0.15781
  • Mean Square Error
    0.01311
  • DF error
    129.00000
  • t(b)
    0.58450
  • p(b)
    0.46730
  • t(a)
    0.97446
  • p(a)
    0.44565
  • Lowerbound of 95% confidence interval for beta
    -0.07296
  • Upperbound of 95% confidence interval for beta
    0.13415
  • Lowerbound of 95% confidence interval for alpha
    -0.16260
  • Upperbound of 95% confidence interval for alpha
    0.47821
  • Treynor index (mean / b)
    5.10399
  • Jensen alpha (a)
    0.15781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14961
  • SD
    0.11431
  • Sharpe ratio (Glass type estimate)
    1.30876
  • Sharpe ratio (Hedges UMVUE)
    1.30119
  • df
    130.00000
  • t
    0.92543
  • p
    0.45955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07751
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94772
  • Upside Potential Ratio
    7.59261
  • Upside part of mean
    0.58320
  • Downside part of mean
    -0.43359
  • Upside SD
    0.08458
  • Downside SD
    0.07681
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07249
  • Mean of criterion
    0.14961
  • SD of predictor
    0.19182
  • SD of criterion
    0.11431
  • Covariance
    0.00117
  • r
    0.05319
  • b (slope, estimate of beta)
    0.03170
  • a (intercept, estimate of alpha)
    0.15190
  • Mean Square Error
    0.01313
  • DF error
    129.00000
  • t(b)
    0.60497
  • p(b)
    0.46615
  • t(a)
    0.93709
  • p(a)
    0.44771
  • Lowerbound of 95% confidence interval for beta
    -0.07197
  • Upperbound of 95% confidence interval for beta
    0.13536
  • Lowerbound of 95% confidence interval for alpha
    -0.16882
  • Upperbound of 95% confidence interval for alpha
    0.47263
  • Treynor index (mean / b)
    4.71980
  • Jensen alpha (a)
    0.15190
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01098
  • Expected Shortfall on VaR
    0.01390
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00371
  • Expected Shortfall on VaR
    0.00814
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99886
  • Median
    1.00010
  • Quartile 3
    1.00240
  • Maximum
    1.02947
  • Mean of quarter 1
    0.99395
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.00812
  • Inter Quartile Range
    0.00354
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98594
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01526
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56750
  • VaR(95%) (moments method)
    0.00498
  • Expected Shortfall (moments method)
    0.01345
  • Extreme Value Index (regression method)
    0.38295
  • VaR(95%) (regression method)
    0.00648
  • Expected Shortfall (regression method)
    0.01368
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00042
  • Quartile 1
    0.01261
  • Median
    0.02392
  • Quartile 3
    0.02869
  • Maximum
    0.03876
  • Mean of quarter 1
    0.00339
  • Mean of quarter 2
    0.02138
  • Mean of quarter 3
    0.02445
  • Mean of quarter 4
    0.03584
  • Inter Quartile Range
    0.01608
  • 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)
    0.18563
  • Compounded annual return (geometric extrapolation)
    0.19424
  • Calmar ratio (compounded annual return / max draw down)
    5.01193
  • Compounded annual return / average of 25% largest draw downs
    5.41960
  • Compounded annual return / Expected Shortfall lognormal
    13.97900

Strategy Description

- Markets traded: Canada, UK
- Long only
- Exposition per symbol: 5%-15% (usually 10%)
- Entry and exit logic very close to "brother" system Carma Stocks

Backtest available for subscribers

Summary Statistics

Strategy began
2015-07-06
Suggested Minimum Capital
$15,000
# Trades
445
# Profitable
299
% Profitable
67.2%
Net Dividends
Correlation S&P500
0.155
Sharpe Ratio
1.296

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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