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Mean Reversal Nasdaq 100
(113279668)

Created by: MeanReversalTradin MeanReversalTradin
Started: 08/2017
Stocks
Last trade: 9 days ago
Trading style: Equity Short-term Reversal

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
10.3%
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
284
Num Trades
69.0%
Win Trades
1.4 : 1
Profit Factor
64.0%
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%+2.4%+5.9%+1.2%(4.5%)+1.6%(1%)+0.1%                        +9.1%

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 201 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/2/19 9:30 DLTR DOLLAR TREE STORES LONG 49 97.43 8/9 9:30 92.86 1.25%
Trade id #124736224
Max drawdown($302)
Time8/2/19 9:30
Quant open49
Worst price91.25
Drawdown as % of equity-1.25%
($225)
Includes Typical Broker Commissions trade costs of $0.98
8/6/19 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 174 29.97 8/9 9:30 29.49 0.79%
Trade id #124788565
Max drawdown($187)
Time8/6/19 9:30
Quant open174
Worst price28.89
Drawdown as % of equity-0.79%
($87)
Includes Typical Broker Commissions trade costs of $3.48
8/6/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 13 379.77 8/9 9:30 380.51 0.49%
Trade id #124788561
Max drawdown($116)
Time8/6/19 9:30
Quant open13
Worst price370.78
Drawdown as % of equity-0.49%
$10
Includes Typical Broker Commissions trade costs of $0.26
8/5/19 9:30 GOOG ALPHABET INC CLASS C LONG 4 1170.04 8/9 9:30 1197.99 0.49%
Trade id #124765984
Max drawdown($119)
Time8/5/19 9:30
Quant open4
Worst price1140.14
Drawdown as % of equity-0.49%
$112
Includes Typical Broker Commissions trade costs of $0.08
8/5/19 9:30 ADBE ADOBE INC LONG 17 285.04 8/9 9:30 296.14 0.58%
Trade id #124765982
Max drawdown($140)
Time8/5/19 9:30
Quant open17
Worst price276.78
Drawdown as % of equity-0.58%
$189
Includes Typical Broker Commissions trade costs of $0.34
8/2/19 9:30 AM ANTERO MIDSTREAM CORP LONG 3 8.40 8/9 9:30 7.67 0.01%
Trade id #124736227
Max drawdown($2)
Time8/2/19 9:30
Quant open3
Worst price7.52
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.06
8/5/19 9:30 JD JD.COM INC LONG 181 26.65 8/9 9:30 27.31 0.66%
Trade id #124765991
Max drawdown($159)
Time8/5/19 9:30
Quant open181
Worst price25.77
Drawdown as % of equity-0.66%
$115
Includes Typical Broker Commissions trade costs of $3.62
7/19/19 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 162 31.38 8/2 9:30 29.79 1.09%
Trade id #124531353
Max drawdown($268)
Time7/19/19 9:30
Quant open162
Worst price29.73
Drawdown as % of equity-1.09%
($261)
Includes Typical Broker Commissions trade costs of $3.24
7/26/19 9:30 XRAY DENTSPLY SIRONA INC LONG 91 56.00 7/31 9:30 56.00 0.22%
Trade id #124629734
Max drawdown($54)
Time7/26/19 9:30
Quant open91
Worst price55.41
Drawdown as % of equity-0.22%
($2)
Includes Typical Broker Commissions trade costs of $1.82
7/16/19 9:30 SYMC SYMANTEC LONG 222 22.66 7/30 9:30 22.00 0.68%
Trade id #124474155
Max drawdown($168)
Time7/16/19 9:30
Quant open222
Worst price21.90
Drawdown as % of equity-0.68%
($151)
Includes Typical Broker Commissions trade costs of $4.44
7/12/19 9:30 ILMN ILLUMINA LONG 14 310.25 7/24 9:30 304.00 1.09%
Trade id #124434357
Max drawdown($269)
Time7/12/19 9:30
Quant open14
Worst price291.00
Drawdown as % of equity-1.09%
($88)
Includes Typical Broker Commissions trade costs of $0.28
7/9/19 9:30 XRAY DENTSPLY SIRONA INC LONG 88 57.59 7/23 9:30 56.48 0.61%
Trade id #124386209
Max drawdown($149)
Time7/9/19 9:30
Quant open88
Worst price55.89
Drawdown as % of equity-0.61%
($100)
Includes Typical Broker Commissions trade costs of $1.76
7/9/19 9:30 EXPE EXPEDIA LONG 38 132.16 7/16 9:30 135.00 n/a $107
Includes Typical Broker Commissions trade costs of $0.76
7/12/19 9:30 JD JD.COM INC LONG 166 30.69 7/15 9:30 31.36 0.06%
Trade id #124434364
Max drawdown($14)
Time7/12/19 9:30
Quant open166
Worst price30.60
Drawdown as % of equity-0.06%
$108
Includes Typical Broker Commissions trade costs of $3.32
6/25/19 9:30 DISH DISH NETWORK LONG 131 38.49 7/2 9:30 38.81 0.57%
Trade id #124217794
Max drawdown($138)
Time6/25/19 9:30
Quant open131
Worst price37.43
Drawdown as % of equity-0.57%
$39
Includes Typical Broker Commissions trade costs of $2.62
6/25/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 13 391.18 7/1 9:31 400.00 0.32%
Trade id #124217801
Max drawdown($77)
Time6/25/19 9:30
Quant open13
Worst price385.24
Drawdown as % of equity-0.32%
$115
Includes Typical Broker Commissions trade costs of $0.26
5/30/19 9:30 LRCX LAM RESEARCH LONG 29 177.95 6/5 9:31 181.16 0.78%
Trade id #123872359
Max drawdown($200)
Time6/3/19 15:33
Quant open29
Worst price171.04
Drawdown as % of equity-0.78%
$92
Includes Typical Broker Commissions trade costs of $0.58
5/31/19 9:30 QQQ POWERSHARES QQQ LONG 29 174.71 6/5 9:30 176.60 0.62%
Trade id #123887125
Max drawdown($157)
Time6/3/19 15:33
Quant open29
Worst price169.27
Drawdown as % of equity-0.62%
$54
Includes Typical Broker Commissions trade costs of $0.58
5/24/19 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 97 52.22 6/5 9:30 52.25 0.63%
Trade id #123810007
Max drawdown($161)
Time5/29/19 10:55
Quant open97
Worst price50.55
Drawdown as % of equity-0.63%
$1
Includes Typical Broker Commissions trade costs of $1.94
5/9/19 9:30 LRCX LAM RESEARCH LONG 25 196.00 5/22 9:30 185.38 1.35%
Trade id #123587844
Max drawdown($337)
Time5/20/19 16:31
Quant open25
Worst price182.51
Drawdown as % of equity-1.35%
($267)
Includes Typical Broker Commissions trade costs of $0.50
5/9/19 9:30 NXPI NXP SEMICONDUCTOR LONG 98 100.00 5/22 9:30 95.48 3.46%
Trade id #123587774
Max drawdown($876)
Time5/20/19 10:12
Quant open98
Worst price91.06
Drawdown as % of equity-3.46%
($445)
Includes Typical Broker Commissions trade costs of $1.96
5/9/19 9:30 ORLY O'REILLY AUTOMOTIVE LONG 28 364.96 5/22 9:30 360.97 1.7%
Trade id #123587786
Max drawdown($427)
Time5/14/19 10:16
Quant open28
Worst price349.71
Drawdown as % of equity-1.70%
($113)
Includes Typical Broker Commissions trade costs of $0.56
5/13/19 9:30 QQQ POWERSHARES QQQ LONG 27 180.30 5/17 9:30 183.10 0.29%
Trade id #123641719
Max drawdown($73)
Time5/13/19 18:02
Quant open27
Worst price177.56
Drawdown as % of equity-0.29%
$75
Includes Typical Broker Commissions trade costs of $0.54
5/3/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 46 110.57 5/16 9:30 111.33 0.96%
Trade id #123519200
Max drawdown($256)
Time5/6/19 4:19
Quant open46
Worst price105.00
Drawdown as % of equity-0.96%
$34
Includes Typical Broker Commissions trade costs of $0.92
5/3/19 9:30 AMZN AMAZON.COM LONG 3 1949.00 5/6 9:36 1932.78 0.6%
Trade id #123519196
Max drawdown($159)
Time5/6/19 5:02
Quant open3
Worst price1896.00
Drawdown as % of equity-0.60%
($49)
Includes Typical Broker Commissions trade costs of $0.06
5/3/19 9:30 QQQ POWERSHARES QQQ LONG 27 189.69 5/6 9:31 187.10 0.3%
Trade id #123519106
Max drawdown($81)
Time5/6/19 5:07
Quant open27
Worst price186.68
Drawdown as % of equity-0.30%
($71)
Includes Typical Broker Commissions trade costs of $0.54
4/26/19 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 101 50.13 4/30 9:30 50.59 0.09%
Trade id #123440264
Max drawdown($22)
Time4/26/19 10:08
Quant open101
Worst price49.91
Drawdown as % of equity-0.09%
$44
Includes Typical Broker Commissions trade costs of $2.02
4/10/19 9:30 EBAY EBAY LONG 134 37.86 4/24 9:30 38.00 1.23%
Trade id #123266127
Max drawdown($324)
Time4/18/19 10:00
Quant open134
Worst price35.44
Drawdown as % of equity-1.23%
$16
Includes Typical Broker Commissions trade costs of $2.68
4/9/19 9:30 INTU INTUIT LONG 19 258.42 4/16 9:30 261.80 0.05%
Trade id #123252288
Max drawdown($13)
Time4/10/19 14:27
Quant open19
Worst price257.73
Drawdown as % of equity-0.05%
$64
Includes Typical Broker Commissions trade costs of $0.38
4/8/19 9:30 CSX CSX LONG 68 74.54 4/15 9:30 76.40 0.11%
Trade id #123237500
Max drawdown($29)
Time4/9/19 9:39
Quant open68
Worst price74.11
Drawdown as % of equity-0.11%
$125
Includes Typical Broker Commissions trade costs of $1.36

Statistics

  • Strategy began
    8/22/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    725.49
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    284
  • # Profitable
    196
  • % Profitable
    69.00%
  • Avg trade duration
    8.2 days
  • Max peak-to-valley drawdown
    17.02%
  • drawdown period
    Jan 26, 2018 - Oct 26, 2018
  • Annual Return (Compounded)
    10.3%
  • Avg win
    $104.82
  • Avg loss
    $169.34
  • Model Account Values (Raw)
  • Cash
    $25,795
  • Margin Used
    $0
  • Buying Power
    $25,795
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    0.74
  • Calmar Ratio
    1.091
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39210
  • Return Statistics
  • Ann Return (w trading costs)
    10.3%
  • Ann Return (Compnd, No Fees)
    13.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    826
  • C2 Score
    35
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $169
  • Avg Win
    $105
  • # Winners
    196
  • # Losers
    88
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    11824.10
  • Avg Position Time (hrs)
    197.07
  • Avg Trade Length
    8.2 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    1.85
  • Regression
  • Alpha
    0.02
  • Beta
    0.37
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    10.903
  • Avg(MAE) / Avg(PL) - Winning trades
    0.845
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.747
  • Hold-and-Hope Ratio
    0.092
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11414
  • SD
    0.13273
  • Sharpe ratio (Glass type estimate)
    0.85995
  • Sharpe ratio (Hedges UMVUE)
    0.83024
  • df
    22.00000
  • t
    1.19055
  • p
    0.12326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26705
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48794
  • Upside Potential Ratio
    3.12105
  • Upside part of mean
    0.23942
  • Downside part of mean
    -0.12528
  • Upside SD
    0.10978
  • Downside SD
    0.07671
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.07346
  • Mean of criterion
    0.11414
  • SD of predictor
    0.13540
  • SD of criterion
    0.13273
  • Covariance
    0.00813
  • r
    0.45255
  • b (slope, estimate of beta)
    0.44362
  • a (intercept, estimate of alpha)
    0.08155
  • Mean Square Error
    0.01468
  • DF error
    21.00000
  • t(b)
    2.32561
  • p(b)
    0.22206
  • t(a)
    0.92025
  • p(a)
    0.37547
  • Lowerbound of 95% confidence interval for beta
    0.04692
  • Upperbound of 95% confidence interval for beta
    0.84033
  • Lowerbound of 95% confidence interval for alpha
    -0.10275
  • Upperbound of 95% confidence interval for alpha
    0.26585
  • Treynor index (mean / b)
    0.25730
  • Jensen alpha (a)
    0.08155
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10505
  • SD
    0.13192
  • Sharpe ratio (Glass type estimate)
    0.79634
  • Sharpe ratio (Hedges UMVUE)
    0.76883
  • df
    22.00000
  • t
    1.10249
  • p
    0.14108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20265
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33111
  • Upside Potential Ratio
    2.95351
  • Upside part of mean
    0.23309
  • Downside part of mean
    -0.12804
  • Upside SD
    0.10647
  • Downside SD
    0.07892
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.06425
  • Mean of criterion
    0.10505
  • SD of predictor
    0.13654
  • SD of criterion
    0.13192
  • Covariance
    0.00821
  • r
    0.45567
  • b (slope, estimate of beta)
    0.44023
  • a (intercept, estimate of alpha)
    0.07677
  • Mean Square Error
    0.01445
  • DF error
    21.00000
  • t(b)
    2.34585
  • p(b)
    0.22029
  • t(a)
    0.87586
  • p(a)
    0.38119
  • Lowerbound of 95% confidence interval for beta
    0.04996
  • Upperbound of 95% confidence interval for beta
    0.83049
  • Lowerbound of 95% confidence interval for alpha
    -0.10551
  • Upperbound of 95% confidence interval for alpha
    0.25904
  • Treynor index (mean / b)
    0.23863
  • Jensen alpha (a)
    0.07677
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05246
  • Expected Shortfall on VaR
    0.06732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02039
  • Expected Shortfall on VaR
    0.04216
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.92552
  • Quartile 1
    0.98953
  • Median
    1.00738
  • Quartile 3
    1.04159
  • Maximum
    1.08220
  • Mean of quarter 1
    0.96518
  • Mean of quarter 2
    1.00153
  • Mean of quarter 3
    1.02390
  • Mean of quarter 4
    1.05876
  • Inter Quartile Range
    0.05206
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.84218
  • VaR(95%) (moments method)
    0.03050
  • Expected Shortfall (moments method)
    0.03415
  • Extreme Value Index (regression method)
    -0.06390
  • VaR(95%) (regression method)
    0.05566
  • Expected Shortfall (regression method)
    0.08046
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02137
  • Quartile 1
    0.04177
  • Median
    0.06216
  • Quartile 3
    0.08255
  • Maximum
    0.10295
  • Mean of quarter 1
    0.02137
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10295
  • Inter Quartile Range
    0.04079
  • 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)
    0.15143
  • Compounded annual return (geometric extrapolation)
    0.14220
  • Calmar ratio (compounded annual return / max draw down)
    1.38132
  • Compounded annual return / average of 25% largest draw downs
    1.38132
  • Compounded annual return / Expected Shortfall lognormal
    2.11222
  • 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
    0.11352
  • SD
    0.13547
  • Sharpe ratio (Glass type estimate)
    0.83791
  • Sharpe ratio (Hedges UMVUE)
    0.83667
  • df
    504.00000
  • t
    1.16331
  • p
    0.12263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24935
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16688
  • Upside Potential Ratio
    7.14557
  • Upside part of mean
    0.69513
  • Downside part of mean
    -0.58161
  • Upside SD
    0.09435
  • Downside SD
    0.09728
  • N nonnegative terms
    248.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    505.00000
  • Mean of predictor
    0.06788
  • Mean of criterion
    0.11352
  • SD of predictor
    0.14724
  • SD of criterion
    0.13547
  • Covariance
    0.00784
  • r
    0.39285
  • b (slope, estimate of beta)
    0.36146
  • a (intercept, estimate of alpha)
    0.08900
  • Mean Square Error
    0.01555
  • DF error
    503.00000
  • t(b)
    9.58088
  • p(b)
    -0.00000
  • t(a)
    0.99021
  • p(a)
    0.16128
  • Lowerbound of 95% confidence interval for beta
    0.28734
  • Upperbound of 95% confidence interval for beta
    0.43558
  • Lowerbound of 95% confidence interval for alpha
    -0.08757
  • Upperbound of 95% confidence interval for alpha
    0.26553
  • Treynor index (mean / b)
    0.31405
  • Jensen alpha (a)
    0.08898
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10430
  • SD
    0.13569
  • Sharpe ratio (Glass type estimate)
    0.76870
  • Sharpe ratio (Hedges UMVUE)
    0.76756
  • df
    504.00000
  • t
    1.06722
  • p
    0.14319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18009
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05957
  • Upside Potential Ratio
    7.01601
  • Upside part of mean
    0.69066
  • Downside part of mean
    -0.58636
  • Upside SD
    0.09341
  • Downside SD
    0.09844
  • N nonnegative terms
    248.00000
  • N negative terms
    257.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    505.00000
  • Mean of predictor
    0.05702
  • Mean of criterion
    0.10430
  • SD of predictor
    0.14756
  • SD of criterion
    0.13569
  • Covariance
    0.00790
  • r
    0.39466
  • b (slope, estimate of beta)
    0.36290
  • a (intercept, estimate of alpha)
    0.08361
  • Mean Square Error
    0.01557
  • DF error
    503.00000
  • t(b)
    9.63313
  • p(b)
    -0.00000
  • t(a)
    0.92990
  • p(a)
    0.17644
  • Lowerbound of 95% confidence interval for beta
    0.28889
  • Upperbound of 95% confidence interval for beta
    0.43692
  • Lowerbound of 95% confidence interval for alpha
    -0.09305
  • Upperbound of 95% confidence interval for alpha
    0.26027
  • Treynor index (mean / b)
    0.28742
  • Jensen alpha (a)
    0.08361
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01330
  • Expected Shortfall on VaR
    0.01675
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01095
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    505.00000
  • Minimum
    0.96579
  • Quartile 1
    0.99850
  • Median
    1.00005
  • Quartile 3
    1.00328
  • Maximum
    1.03862
  • Mean of quarter 1
    0.99171
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.00940
  • Inter Quartile Range
    0.00478
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06535
  • Mean of outliers low
    0.97911
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.06931
  • Mean of outliers high
    1.01846
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74105
  • VaR(95%) (moments method)
    0.00748
  • Expected Shortfall (moments method)
    0.03205
  • Extreme Value Index (regression method)
    0.24365
  • VaR(95%) (regression method)
    0.00638
  • Expected Shortfall (regression method)
    0.01122
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00324
  • Median
    0.00684
  • Quartile 3
    0.04310
  • Maximum
    0.12953
  • Mean of quarter 1
    0.00113
  • Mean of quarter 2
    0.00546
  • Mean of quarter 3
    0.01310
  • Mean of quarter 4
    0.07498
  • Inter Quartile Range
    0.03986
  • 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
    0.07143
  • Mean of outliers high
    0.12953
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24280
  • VaR(95%) (moments method)
    0.08819
  • Expected Shortfall (moments method)
    0.12878
  • Extreme Value Index (regression method)
    1.24571
  • VaR(95%) (regression method)
    0.10107
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15058
  • Compounded annual return (geometric extrapolation)
    0.14135
  • Calmar ratio (compounded annual return / max draw down)
    1.09124
  • Compounded annual return / average of 25% largest draw downs
    1.88521
  • Compounded annual return / Expected Shortfall lognormal
    8.44043
  • 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
    0.09576
  • SD
    0.09473
  • Sharpe ratio (Glass type estimate)
    1.01098
  • Sharpe ratio (Hedges UMVUE)
    1.00513
  • df
    130.00000
  • t
    0.71487
  • p
    0.46871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77963
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41324
  • Upside Potential Ratio
    6.67562
  • Upside part of mean
    0.45236
  • Downside part of mean
    -0.35659
  • Upside SD
    0.06594
  • Downside SD
    0.06776
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10866
  • Mean of criterion
    0.09576
  • SD of predictor
    0.13207
  • SD of criterion
    0.09473
  • Covariance
    0.00648
  • r
    0.51832
  • b (slope, estimate of beta)
    0.37174
  • a (intercept, estimate of alpha)
    0.05537
  • Mean Square Error
    0.00661
  • DF error
    129.00000
  • t(b)
    6.88380
  • p(b)
    0.18546
  • t(a)
    0.48085
  • p(a)
    0.47308
  • Lowerbound of 95% confidence interval for beta
    0.26490
  • Upperbound of 95% confidence interval for beta
    0.47859
  • Lowerbound of 95% confidence interval for alpha
    -0.17247
  • Upperbound of 95% confidence interval for alpha
    0.28321
  • Treynor index (mean / b)
    0.25761
  • Jensen alpha (a)
    0.05537
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09127
  • SD
    0.09501
  • Sharpe ratio (Glass type estimate)
    0.96064
  • Sharpe ratio (Hedges UMVUE)
    0.95509
  • df
    130.00000
  • t
    0.67928
  • p
    0.47026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72933
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33014
  • Upside Potential Ratio
    6.56052
  • Upside part of mean
    0.45016
  • Downside part of mean
    -0.35889
  • Upside SD
    0.06543
  • Downside SD
    0.06862
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09994
  • Mean of criterion
    0.09127
  • SD of predictor
    0.13239
  • SD of criterion
    0.09501
  • Covariance
    0.00653
  • r
    0.51952
  • b (slope, estimate of beta)
    0.37283
  • a (intercept, estimate of alpha)
    0.05401
  • Mean Square Error
    0.00664
  • DF error
    129.00000
  • t(b)
    6.90575
  • p(b)
    0.18481
  • t(a)
    0.46810
  • p(a)
    0.47379
  • Lowerbound of 95% confidence interval for beta
    0.26601
  • Upperbound of 95% confidence interval for beta
    0.47964
  • Lowerbound of 95% confidence interval for alpha
    -0.17427
  • Upperbound of 95% confidence interval for alpha
    0.28228
  • Treynor index (mean / b)
    0.24480
  • Jensen alpha (a)
    0.05401
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00926
  • Expected Shortfall on VaR
    0.01169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00321
  • Expected Shortfall on VaR
    0.00710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96579
  • Quartile 1
    0.99901
  • Median
    1.00000
  • Quartile 3
    1.00165
  • Maximum
    1.02515
  • Mean of quarter 1
    0.99500
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.00634
  • Inter Quartile Range
    0.00264
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98483
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53639
  • VaR(95%) (moments method)
    0.00407
  • Expected Shortfall (moments method)
    0.01027
  • Extreme Value Index (regression method)
    0.41055
  • VaR(95%) (regression method)
    0.00395
  • Expected Shortfall (regression method)
    0.00818
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00395
  • Median
    0.00563
  • Quartile 3
    0.01158
  • Maximum
    0.05052
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.00563
  • Mean of quarter 3
    0.01158
  • Mean of quarter 4
    0.05052
  • Inter Quartile Range
    0.00763
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.05052
  • 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)
    0.12280
  • Compounded annual return (geometric extrapolation)
    0.12657
  • Calmar ratio (compounded annual return / max draw down)
    2.50547
  • Compounded annual return / average of 25% largest draw downs
    2.50547
  • Compounded annual return / Expected Shortfall lognormal
    10.82910

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
284
# Profitable
196
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.392
Sharpe Ratio
0.53
Sortino Ratio
0.74
Beta
0.37
Alpha
0.02
Leverage
0.90 Average
1.85 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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