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Mean Reversal Nasdaq 100
(113279668)

Created by: MeanReversalTradin MeanReversalTradin
Started: 08/2017
Stocks
Last trade: 2 days ago

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.

11.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(17.0%)
Max Drawdown
242
Num Trades
69.8%
Win Trades
1.4 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +2.1%+0.2%(2.9%)+7.6%+0.5%+7.3%
2018+4.2%(8.2%)(2.3%)+5.1%+2.2%(4.7%)(1.1%)(2.7%)+5.4%(1.3%)+8.4%+0.2%+3.9%
2019+3.3%+1.7%                                                            +5.1%

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 182 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/8/19 9:30 INCY INCYTE LONG 52 79.50 2/15 9:30 82.05 0.02%
Trade id #122429392
Max drawdown($4)
Time2/8/19 9:34
Quant open52
Worst price79.41
Drawdown as % of equity-0.02%
$131
Includes Typical Broker Commissions trade costs of $1.04
2/12/19 9:30 DLTR DOLLAR TREE STORES LONG 42 98.34 2/14 9:30 98.06 0.13%
Trade id #122474488
Max drawdown($33)
Time2/13/19 10:10
Quant open42
Worst price97.55
Drawdown as % of equity-0.13%
($13)
Includes Typical Broker Commissions trade costs of $0.84
2/12/19 9:30 SYMC SYMANTEC LONG 184 22.69 2/13 9:30 23.47 0.1%
Trade id #122474519
Max drawdown($23)
Time2/12/19 9:32
Quant open184
Worst price22.56
Drawdown as % of equity-0.10%
$140
Includes Typical Broker Commissions trade costs of $3.68
2/8/19 9:30 CELG CELGENE LONG 47 86.88 2/12 9:30 89.95 n/a $143
Includes Typical Broker Commissions trade costs of $0.94
1/30/19 9:30 VRTX VERTEX LONG 22 185.84 2/1 9:30 190.92 0.12%
Trade id #122265156
Max drawdown($29)
Time1/30/19 10:59
Quant open22
Worst price184.50
Drawdown as % of equity-0.12%
$112
Includes Typical Broker Commissions trade costs of $0.44
1/24/19 9:30 REGN REGENERON PHARMACEUTICALS LONG 10 401.80 1/31 9:30 419.68 0.11%
Trade id #122154517
Max drawdown($26)
Time1/24/19 9:35
Quant open10
Worst price399.16
Drawdown as % of equity-0.11%
$179
Includes Typical Broker Commissions trade costs of $0.20
1/24/19 9:30 INCY INCYTE LONG 55 76.99 1/29 9:30 80.72 0.17%
Trade id #122154484
Max drawdown($39)
Time1/24/19 9:34
Quant open55
Worst price76.26
Drawdown as % of equity-0.17%
$204
Includes Typical Broker Commissions trade costs of $1.10
1/16/19 9:30 DLTR DOLLAR TREE STORES LONG 43 95.72 1/29 9:30 95.55 0.53%
Trade id #122003172
Max drawdown($125)
Time1/17/19 19:19
Quant open43
Worst price92.81
Drawdown as % of equity-0.53%
($8)
Includes Typical Broker Commissions trade costs of $0.86
1/15/19 9:30 INCY INCYTE LONG 56 75.00 1/16 9:30 77.38 n/a $132
Includes Typical Broker Commissions trade costs of $1.12
1/4/19 9:30 FOXA TWENTY-FIRST CENTURY FOX INC. LONG 87 47.71 1/8 9:30 48.50 0.05%
Trade id #121781401
Max drawdown($11)
Time1/4/19 9:32
Quant open87
Worst price47.58
Drawdown as % of equity-0.05%
$67
Includes Typical Broker Commissions trade costs of $1.74
1/4/19 9:30 TSCO TRACTOR SUPPLY LONG 51 82.00 1/8 9:30 84.13 0.06%
Trade id #121781437
Max drawdown($13)
Time1/4/19 9:34
Quant open51
Worst price81.73
Drawdown as % of equity-0.06%
$108
Includes Typical Broker Commissions trade costs of $1.02
12/26/18 9:30 SBUX STARBUCKS LONG 67 60.95 12/27 15:11 62.29 0.05%
Trade id #121660539
Max drawdown($12)
Time12/26/18 9:32
Quant open67
Worst price60.76
Drawdown as % of equity-0.05%
$89
Includes Typical Broker Commissions trade costs of $1.34
11/21/18 9:30 VRSK VERISK ANALYTICS LONG 34 121.62 11/29 9:30 123.14 0.38%
Trade id #121094192
Max drawdown($87)
Time11/23/18 9:31
Quant open34
Worst price119.06
Drawdown as % of equity-0.38%
$51
Includes Typical Broker Commissions trade costs of $0.68
11/20/18 9:30 TRIP TRIPADVISOR LONG 68 58.95 11/28 9:30 62.70 0.58%
Trade id #121071007
Max drawdown($131)
Time11/20/18 16:45
Quant open68
Worst price57.01
Drawdown as % of equity-0.58%
$254
Includes Typical Broker Commissions trade costs of $1.36
11/21/18 9:30 WBA WALGREEN BOOTS ALLIANCE INC. LONG 77 80.40 11/28 9:30 83.82 0.59%
Trade id #121094197
Max drawdown($133)
Time11/23/18 9:30
Quant open77
Worst price78.66
Drawdown as % of equity-0.59%
$261
Includes Typical Broker Commissions trade costs of $1.54
11/13/18 9:30 AAPL APPLE LONG 21 191.63 11/28 9:30 176.73 1.97%
Trade id #120903582
Max drawdown($448)
Time11/26/18 12:36
Quant open21
Worst price170.26
Drawdown as % of equity-1.97%
($313)
Includes Typical Broker Commissions trade costs of $0.42
11/15/18 10:37 WBA WALGREEN BOOTS ALLIANCE INC. LONG 51 81.54 11/19 9:30 82.34 0.16%
Trade id #120967961
Max drawdown($34)
Time11/15/18 10:40
Quant open51
Worst price80.86
Drawdown as % of equity-0.16%
$40
Includes Typical Broker Commissions trade costs of $1.02
11/13/18 9:30 TSLA TESLA INC. LONG 74 340.84 11/19 9:30 356.34 0.05%
Trade id #120903568
Max drawdown($11)
Time11/13/18 10:05
Quant open12
Worst price332.20
Drawdown as % of equity-0.05%
$1,146
Includes Typical Broker Commissions trade costs of $1.48
10/31/18 9:30 ADBE ADOBE INC LONG 17 245.41 11/8 9:30 253.31 0.93%
Trade id #120639419
Max drawdown($200)
Time11/5/18 10:19
Quant open17
Worst price233.62
Drawdown as % of equity-0.93%
$134
Includes Typical Broker Commissions trade costs of $0.34
11/1/18 9:30 ORLY O'REILLY AUTOMOTIVE LONG 13 319.11 11/7 9:30 335.95 0.05%
Trade id #120664427
Max drawdown($10)
Time11/1/18 9:42
Quant open13
Worst price318.33
Drawdown as % of equity-0.05%
$219
Includes Typical Broker Commissions trade costs of $0.26
10/24/18 9:30 ADP AUTOMATIC DATA PROCESSING LONG 29 142.01 11/1 9:31 143.75 1.26%
Trade id #120508188
Max drawdown($257)
Time10/29/18 15:45
Quant open29
Worst price133.13
Drawdown as % of equity-1.26%
$49
Includes Typical Broker Commissions trade costs of $0.58
10/24/18 9:30 NTAP NETAPP LONG 53 77.44 11/1 9:30 78.48 1.9%
Trade id #120508237
Max drawdown($380)
Time10/26/18 11:06
Quant open53
Worst price70.26
Drawdown as % of equity-1.90%
$54
Includes Typical Broker Commissions trade costs of $1.06
10/25/18 9:30 INTU INTUIT LONG 21 204.32 11/1 9:30 210.81 0.81%
Trade id #120535765
Max drawdown($166)
Time10/29/18 15:45
Quant open21
Worst price196.40
Drawdown as % of equity-0.81%
$136
Includes Typical Broker Commissions trade costs of $0.42
10/25/18 9:30 AMGN AMGEN LONG 22 188.66 11/1 9:30 192.81 0.8%
Trade id #120535776
Max drawdown($161)
Time10/25/18 9:42
Quant open22
Worst price181.31
Drawdown as % of equity-0.80%
$91
Includes Typical Broker Commissions trade costs of $0.44
10/24/18 9:30 VRSK VERISK ANALYTICS LONG 36 115.56 10/31 9:30 116.91 0.72%
Trade id #120508235
Max drawdown($145)
Time10/26/18 10:58
Quant open36
Worst price111.52
Drawdown as % of equity-0.72%
$48
Includes Typical Broker Commissions trade costs of $0.72
10/19/18 9:30 CSX CSX LONG 94 68.39 10/31 9:30 69.67 2.14%
Trade id #120437960
Max drawdown($445)
Time10/26/18 9:31
Quant open94
Worst price63.65
Drawdown as % of equity-2.14%
$118
Includes Typical Broker Commissions trade costs of $1.88
10/25/18 9:30 SBUX STARBUCKS LONG 71 58.29 10/26 9:30 58.04 0.21%
Trade id #120535703
Max drawdown($41)
Time10/25/18 9:32
Quant open71
Worst price57.70
Drawdown as % of equity-0.21%
($19)
Includes Typical Broker Commissions trade costs of $1.42
9/25/18 9:30 ESRX EXPRESS SCRIPTS LONG 44 94.39 10/25 9:30 92.60 0.53%
Trade id #120019767
Max drawdown($108)
Time10/24/18 16:00
Quant open44
Worst price91.92
Drawdown as % of equity-0.53%
($80)
Includes Typical Broker Commissions trade costs of $0.88
10/16/18 9:30 QCOM QUALCOMM LONG 64 64.78 10/24 9:30 65.87 0.44%
Trade id #120377393
Max drawdown($92)
Time10/23/18 9:15
Quant open64
Worst price63.34
Drawdown as % of equity-0.44%
$69
Includes Typical Broker Commissions trade costs of $1.28
9/17/18 9:30 COST COSTCO WHOLESALE LONG 17 234.06 10/19 9:30 228.90 1.34%
Trade id #119884063
Max drawdown($276)
Time10/5/18 15:28
Quant open17
Worst price217.79
Drawdown as % of equity-1.34%
($88)
Includes Typical Broker Commissions trade costs of $0.34

Statistics

  • Strategy began
    8/22/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    543.79
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    242
  • # Profitable
    169
  • % Profitable
    69.80%
  • Avg trade duration
    8.4 days
  • Max peak-to-valley drawdown
    17.02%
  • drawdown period
    Jan 26, 2018 - Oct 26, 2018
  • Annual Return (Compounded)
    11.2%
  • Avg win
    $103.38
  • Avg loss
    $178.74
  • Model Account Values (Raw)
  • Cash
    $24,575
  • Margin Used
    $0
  • Buying Power
    $24,575
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.862
  • Sortino Ratio
    1.203
  • Calmar Ratio
    1.193
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.36600
  • Return Statistics
  • Ann Return (w trading costs)
    11.2%
  • Ann Return (Compnd, No Fees)
    14.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    728
  • Popularity (Last 6 weeks)
    883
  • C2 Score
    94.5
  • 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
    $179
  • Avg Win
    $103
  • # Winners
    169
  • # Losers
    73
  • % Winners
    69.8%
  • Frequency
  • Avg Position Time (mins)
    12079.90
  • Avg Position Time (hrs)
    201.33
  • Avg Trade Length
    8.4 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11668
  • SD
    0.14653
  • Sharpe ratio (Glass type estimate)
    0.79627
  • Sharpe ratio (Hedges UMVUE)
    0.75825
  • df
    16.00000
  • t
    0.94775
  • p
    0.38472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42577
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34291
  • Upside Potential Ratio
    3.00751
  • Upside part of mean
    0.26131
  • Downside part of mean
    -0.14463
  • Upside SD
    0.11745
  • Downside SD
    0.08689
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.05869
  • Mean of criterion
    0.11668
  • SD of predictor
    0.14668
  • SD of criterion
    0.14653
  • Covariance
    0.00968
  • r
    0.45017
  • b (slope, estimate of beta)
    0.44973
  • a (intercept, estimate of alpha)
    0.09029
  • Mean Square Error
    0.01826
  • DF error
    15.00000
  • t(b)
    1.95254
  • p(b)
    0.22341
  • t(a)
    0.78964
  • p(a)
    0.37367
  • Lowerbound of 95% confidence interval for beta
    -0.04121
  • Upperbound of 95% confidence interval for beta
    0.94066
  • Lowerbound of 95% confidence interval for alpha
    -0.15342
  • Upperbound of 95% confidence interval for alpha
    0.33399
  • Treynor index (mean / b)
    0.25944
  • Jensen alpha (a)
    0.09029
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10589
  • SD
    0.14582
  • Sharpe ratio (Glass type estimate)
    0.72617
  • Sharpe ratio (Hedges UMVUE)
    0.69150
  • df
    16.00000
  • t
    0.86431
  • p
    0.39440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35553
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18327
  • Upside Potential Ratio
    2.83948
  • Upside part of mean
    0.25410
  • Downside part of mean
    -0.14821
  • Upside SD
    0.11375
  • Downside SD
    0.08949
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04817
  • Mean of criterion
    0.10589
  • SD of predictor
    0.14843
  • SD of criterion
    0.14582
  • Covariance
    0.00980
  • r
    0.45269
  • b (slope, estimate of beta)
    0.44474
  • a (intercept, estimate of alpha)
    0.08447
  • Mean Square Error
    0.01803
  • DF error
    15.00000
  • t(b)
    1.96627
  • p(b)
    0.22198
  • t(a)
    0.74518
  • p(a)
    0.38044
  • Lowerbound of 95% confidence interval for beta
    -0.03736
  • Upperbound of 95% confidence interval for beta
    0.92685
  • Lowerbound of 95% confidence interval for alpha
    -0.15713
  • Upperbound of 95% confidence interval for alpha
    0.32606
  • Treynor index (mean / b)
    0.23809
  • Jensen alpha (a)
    0.08447
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05863
  • Expected Shortfall on VaR
    0.07493
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02198
  • Expected Shortfall on VaR
    0.04586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.92552
  • Quartile 1
    0.98998
  • Median
    1.00770
  • Quartile 3
    1.04319
  • Maximum
    1.08220
  • Mean of quarter 1
    0.96196
  • Mean of quarter 2
    1.00476
  • Mean of quarter 3
    1.02875
  • Mean of quarter 4
    1.06526
  • Inter Quartile Range
    0.05321
  • 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)
    -3.16431
  • VaR(95%) (moments method)
    0.02842
  • Expected Shortfall (moments method)
    0.02853
  • Extreme Value Index (regression method)
    -0.38439
  • VaR(95%) (regression method)
    0.06551
  • Expected Shortfall (regression method)
    0.08203
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10295
  • Quartile 1
    0.10295
  • Median
    0.10295
  • Quartile 3
    0.10295
  • Maximum
    0.10295
  • 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)
    0.14732
  • Compounded annual return (geometric extrapolation)
    0.14316
  • Calmar ratio (compounded annual return / max draw down)
    1.39063
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.91064
  • 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
    0.12651
  • SD
    0.14653
  • Sharpe ratio (Glass type estimate)
    0.86340
  • Sharpe ratio (Hedges UMVUE)
    0.86168
  • df
    377.00000
  • t
    1.03706
  • p
    0.15019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77006
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49458
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20343
  • Upside Potential Ratio
    7.41913
  • Upside part of mean
    0.77996
  • Downside part of mean
    -0.65345
  • Upside SD
    0.10210
  • Downside SD
    0.10513
  • N nonnegative terms
    192.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    378.00000
  • Mean of predictor
    0.06947
  • Mean of criterion
    0.12651
  • SD of predictor
    0.15219
  • SD of criterion
    0.14653
  • Covariance
    0.00829
  • r
    0.37169
  • b (slope, estimate of beta)
    0.35786
  • a (intercept, estimate of alpha)
    0.10200
  • Mean Square Error
    0.01855
  • DF error
    376.00000
  • t(b)
    7.76344
  • p(b)
    0.00000
  • t(a)
    0.89604
  • p(a)
    0.18540
  • Lowerbound of 95% confidence interval for beta
    0.26723
  • Upperbound of 95% confidence interval for beta
    0.44850
  • Lowerbound of 95% confidence interval for alpha
    -0.12142
  • Upperbound of 95% confidence interval for alpha
    0.32473
  • Treynor index (mean / b)
    0.35353
  • Jensen alpha (a)
    0.10165
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11575
  • SD
    0.14674
  • Sharpe ratio (Glass type estimate)
    0.78881
  • Sharpe ratio (Hedges UMVUE)
    0.78724
  • df
    377.00000
  • t
    0.94748
  • p
    0.17200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41996
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08815
  • Upside Potential Ratio
    7.28331
  • Upside part of mean
    0.77474
  • Downside part of mean
    -0.65899
  • Upside SD
    0.10105
  • Downside SD
    0.10637
  • N nonnegative terms
    192.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    378.00000
  • Mean of predictor
    0.05787
  • Mean of criterion
    0.11575
  • SD of predictor
    0.15251
  • SD of criterion
    0.14674
  • Covariance
    0.00836
  • r
    0.37356
  • b (slope, estimate of beta)
    0.35942
  • a (intercept, estimate of alpha)
    0.09495
  • Mean Square Error
    0.01858
  • DF error
    376.00000
  • t(b)
    7.80895
  • p(b)
    0.00000
  • t(a)
    0.83653
  • p(a)
    0.20169
  • Lowerbound of 95% confidence interval for beta
    0.26892
  • Upperbound of 95% confidence interval for beta
    0.44992
  • Lowerbound of 95% confidence interval for alpha
    -0.12823
  • Upperbound of 95% confidence interval for alpha
    0.31813
  • Treynor index (mean / b)
    0.32204
  • Jensen alpha (a)
    0.09495
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01437
  • Expected Shortfall on VaR
    0.01809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00557
  • Expected Shortfall on VaR
    0.01199
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    378.00000
  • Minimum
    0.96723
  • Quartile 1
    0.99828
  • Median
    1.00014
  • Quartile 3
    1.00379
  • Maximum
    1.03862
  • Mean of quarter 1
    0.99065
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.01026
  • Inter Quartile Range
    0.00551
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.07407
  • Mean of outliers low
    0.97851
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.01963
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71852
  • VaR(95%) (moments method)
    0.00845
  • Expected Shortfall (moments method)
    0.03358
  • Extreme Value Index (regression method)
    0.09239
  • VaR(95%) (regression method)
    0.00777
  • Expected Shortfall (regression method)
    0.01223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00300
  • Median
    0.00689
  • Quartile 3
    0.05752
  • Maximum
    0.12953
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00684
  • Mean of quarter 3
    0.03918
  • Mean of quarter 4
    0.09594
  • Inter Quartile Range
    0.05452
  • 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)
    0.20161
  • VaR(95%) (moments method)
    0.10218
  • Expected Shortfall (moments method)
    0.14560
  • Extreme Value Index (regression method)
    2.79964
  • VaR(95%) (regression method)
    0.22351
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15963
  • Compounded annual return (geometric extrapolation)
    0.15449
  • Calmar ratio (compounded annual return / max draw down)
    1.19264
  • Compounded annual return / average of 25% largest draw downs
    1.61026
  • Compounded annual return / Expected Shortfall lognormal
    8.54155
  • 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
    0.31840
  • SD
    0.13256
  • Sharpe ratio (Glass type estimate)
    2.40196
  • Sharpe ratio (Hedges UMVUE)
    2.38808
  • df
    130.00000
  • t
    1.69844
  • p
    0.42633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.18461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17504
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96053
  • Upside Potential Ratio
    9.38907
  • Upside part of mean
    0.75482
  • Downside part of mean
    -0.43642
  • Upside SD
    0.10659
  • Downside SD
    0.08039
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05080
  • Mean of criterion
    0.31840
  • SD of predictor
    0.19176
  • SD of criterion
    0.13256
  • Covariance
    0.00995
  • r
    0.39140
  • b (slope, estimate of beta)
    0.27057
  • a (intercept, estimate of alpha)
    0.33214
  • Mean Square Error
    0.01499
  • DF error
    129.00000
  • t(b)
    4.83091
  • p(b)
    0.25734
  • t(a)
    1.91769
  • p(a)
    0.39450
  • Lowerbound of 95% confidence interval for beta
    0.15976
  • Upperbound of 95% confidence interval for beta
    0.38139
  • Lowerbound of 95% confidence interval for alpha
    -0.01054
  • Upperbound of 95% confidence interval for alpha
    0.67482
  • Treynor index (mean / b)
    1.17676
  • Jensen alpha (a)
    0.33214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30950
  • SD
    0.13207
  • Sharpe ratio (Glass type estimate)
    2.34339
  • Sharpe ratio (Hedges UMVUE)
    2.32984
  • df
    130.00000
  • t
    1.65703
  • p
    0.42809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12543
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11608
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.80970
  • Upside Potential Ratio
    9.22135
  • Upside part of mean
    0.74915
  • Downside part of mean
    -0.43965
  • Upside SD
    0.10524
  • Downside SD
    0.08124
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06904
  • Mean of criterion
    0.30950
  • SD of predictor
    0.19174
  • SD of criterion
    0.13207
  • Covariance
    0.00996
  • r
    0.39340
  • b (slope, estimate of beta)
    0.27098
  • a (intercept, estimate of alpha)
    0.32821
  • Mean Square Error
    0.01486
  • DF error
    129.00000
  • t(b)
    4.85999
  • p(b)
    0.25617
  • t(a)
    1.90346
  • p(a)
    0.39526
  • Lowerbound of 95% confidence interval for beta
    0.16066
  • Upperbound of 95% confidence interval for beta
    0.38129
  • Lowerbound of 95% confidence interval for alpha
    -0.01294
  • Upperbound of 95% confidence interval for alpha
    0.66937
  • Treynor index (mean / b)
    1.14218
  • Jensen alpha (a)
    0.32821
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01217
  • Expected Shortfall on VaR
    0.01552
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00370
  • Expected Shortfall on VaR
    0.00824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96977
  • Quartile 1
    0.99946
  • Median
    1.00012
  • Quartile 3
    1.00336
  • Maximum
    1.03862
  • Mean of quarter 1
    0.99362
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00170
  • Mean of quarter 4
    1.01000
  • Inter Quartile Range
    0.00390
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98421
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01737
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60922
  • VaR(95%) (moments method)
    0.00402
  • Expected Shortfall (moments method)
    0.01251
  • Extreme Value Index (regression method)
    0.69412
  • VaR(95%) (regression method)
    0.00528
  • Expected Shortfall (regression method)
    0.02101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00174
  • Median
    0.00345
  • Quartile 3
    0.01817
  • Maximum
    0.07868
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00276
  • Mean of quarter 3
    0.01043
  • Mean of quarter 4
    0.03955
  • Inter Quartile Range
    0.01642
  • 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
    0.09091
  • Mean of outliers high
    0.07868
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61869
  • VaR(95%) (moments method)
    0.04746
  • Expected Shortfall (moments method)
    0.13082
  • Extreme Value Index (regression method)
    4.19093
  • VaR(95%) (regression method)
    0.13657
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36754
  • Compounded annual return (geometric extrapolation)
    0.40131
  • Calmar ratio (compounded annual return / max draw down)
    5.10074
  • Compounded annual return / average of 25% largest draw downs
    10.14650
  • Compounded annual return / Expected Shortfall lognormal
    25.85230

Strategy Description

This system uses mean reversion techniques for trading the Nasdaq 100 components stocks with daily data. This is one of my existing strategies which I customized for C2 trading by using market orders. This system holds a maximum of 8 open positions.

Summary Statistics

Strategy began
2017-08-22
Suggested Minimum Capital
$15,000
# Trades
242
# Profitable
169
% Profitable
69.8%
Net Dividends
Correlation S&P500
0.366
Sharpe Ratio
0.862

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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