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SuperBands
(122300076)

Created by: BWorldOmnimedia BWorldOmnimedia
Started: 01/2019
Stocks
Last trade: Yesterday
Trading style: Equity Sector: Technology 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 $250.00 per month.

Trading Category: Equity
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
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).
0.1%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(6.5%)
Max Drawdown
50
Num Trades
70.0%
Win Trades
1.4 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019(0.5%)+2.7%+0.4%+0.9%(3.4%)                                          +0.1%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/20/19 14:24 QCOM QUALCOMM LONG 32 76.31 5/21 9:30 78.91 n/a $82
Includes Typical Broker Commissions trade costs of $0.64
5/20/19 9:34 XLNX XILINX LONG 78 98.40 5/21 9:30 103.87 n/a $425
Includes Typical Broker Commissions trade costs of $1.56
5/20/19 9:31 TSLA TESLA INC. LONG 48 199.51 5/21 9:30 197.76 n/a ($85)
Includes Typical Broker Commissions trade costs of $0.96
5/20/19 13:56 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 30 270.26 5/21 9:30 277.09 n/a $204
Includes Typical Broker Commissions trade costs of $0.60
5/20/19 9:41 AABA ALTABA INC LONG 20 63.46 5/21 9:30 65.40 n/a $39
Includes Typical Broker Commissions trade costs of $0.40
5/17/19 10:43 CNET CHINANET ONLINE HOLDINGS LONG 4,969 1.26 5/20 9:30 1.30 0.06%
Trade id #123711534
Max drawdown($32)
Time5/17/19 12:21
Quant open4,969
Worst price1.25
Drawdown as % of equity-0.06%
$201
Includes Typical Broker Commissions trade costs of $15.00
5/16/19 9:37 RNWK REALNETWORKS LONG 1,329 1.88 5/17 9:30 2.00 n/a $152
Includes Typical Broker Commissions trade costs of $7.50
5/15/19 9:48 TEVA TEVA PHARMACEUTICAL LONG 655 11.46 5/16 9:30 11.35 0.3%
Trade id #123678552
Max drawdown($148)
Time5/16/19 4:14
Quant open655
Worst price11.23
Drawdown as % of equity-0.30%
($79)
Includes Typical Broker Commissions trade costs of $9.05
5/14/19 15:31 TEVA TEVA PHARMACEUTICAL LONG 103 12.20 5/15 9:31 11.64 0.14%
Trade id #123669890
Max drawdown($71)
Time5/15/19 9:13
Quant open103
Worst price11.50
Drawdown as % of equity-0.14%
($59)
Includes Typical Broker Commissions trade costs of $2.06
5/14/19 11:01 LIFE ATYR PHARMA INC. COMMON STOCK LONG 25,628 0.49 5/15 9:30 0.49 1.84%
Trade id #123664130
Max drawdown($922)
Time5/14/19 11:15
Quant open25,628
Worst price0.45
Drawdown as % of equity-1.84%
$101
Includes Typical Broker Commissions trade costs of $27.50
5/14/19 9:40 VOD VODAFONE GROUP PLC AMERICAN DE LONG 539 16.25 5/15 9:30 16.25 0.26%
Trade id #123660962
Max drawdown($131)
Time5/15/19 4:02
Quant open539
Worst price16.01
Drawdown as % of equity-0.26%
($10)
Includes Typical Broker Commissions trade costs of $7.89
5/13/19 12:25 RNWK REALNETWORKS LONG 1,243 2.01 5/14 10:23 2.10 n/a $105
Includes Typical Broker Commissions trade costs of $7.50
5/13/19 13:33 MXIM MAXIM INTEGRATED PRODUCTS LONG 24 52.80 5/14 9:30 54.05 0%
Trade id #123649890
Max drawdown($0)
Time5/13/19 13:35
Quant open24
Worst price52.80
Drawdown as % of equity-0.00%
$30
Includes Typical Broker Commissions trade costs of $0.48
5/13/19 10:40 AEO AMERICAN EAGLE LONG 369 20.33 5/14 9:30 20.45 0.11%
Trade id #123644320
Max drawdown($55)
Time5/13/19 11:55
Quant open369
Worst price20.18
Drawdown as % of equity-0.11%
$36
Includes Typical Broker Commissions trade costs of $7.38
5/13/19 10:35 ENDP ENDO INTERNATIONAL PLC ORDINAR LONG 1,830 6.83 5/14 9:30 6.65 1.58%
Trade id #123644164
Max drawdown($785)
Time5/13/19 13:09
Quant open1,830
Worst price6.40
Drawdown as % of equity-1.58%
($349)
Includes Typical Broker Commissions trade costs of $20.80
5/13/19 9:45 TEVA TEVA PHARMACEUTICAL LONG 483 12.82 5/14 9:30 12.27 0.94%
Trade id #123642390
Max drawdown($470)
Time5/14/19 4:01
Quant open483
Worst price11.85
Drawdown as % of equity-0.94%
($278)
Includes Typical Broker Commissions trade costs of $9.66
5/10/19 10:07 LIFE ATYR PHARMA INC. COMMON STOCK LONG 9,575 0.52 5/13 9:30 0.55 0.23%
Trade id #123617039
Max drawdown($117)
Time5/10/19 10:38
Quant open9,575
Worst price0.51
Drawdown as % of equity-0.23%
$253
Includes Typical Broker Commissions trade costs of $12.50
5/10/19 9:30 QRTEA LIBERTY INTERACTIVE QVC GROUP SER A LONG 411 15.00 5/13 9:30 11.84 3.13%
Trade id #123615505
Max drawdown($1,576)
Time5/10/19 12:37
Quant open411
Worst price11.17
Drawdown as % of equity-3.13%
($1,308)
Includes Typical Broker Commissions trade costs of $8.22
5/7/19 9:33 KLAC KLA-TENCOR LONG 44 115.06 5/8 9:30 116.25 0.06%
Trade id #123555972
Max drawdown($28)
Time5/7/19 13:48
Quant open44
Worst price114.41
Drawdown as % of equity-0.06%
$51
Includes Typical Broker Commissions trade costs of $0.88
5/6/19 9:54 RNWK REALNETWORKS LONG 1,685 2.22 5/7 9:30 2.25 0.01%
Trade id #123541232
Max drawdown($5)
Time5/6/19 9:58
Quant open1,685
Worst price2.22
Drawdown as % of equity-0.01%
$35
Includes Typical Broker Commissions trade costs of $10.00
5/6/19 9:30 CTSH COGNIZANT TECH SOLUTION LONG 64 58.31 5/7 9:30 59.00 0.04%
Trade id #123540051
Max drawdown($18)
Time5/6/19 9:47
Quant open64
Worst price58.02
Drawdown as % of equity-0.04%
$43
Includes Typical Broker Commissions trade costs of $1.28
5/2/19 15:52 CTSH COGNIZANT TECH SOLUTION LONG 200 65.81 5/3 9:31 60.09 2.2%
Trade id #123513413
Max drawdown($1,161)
Time5/3/19 9:30
Quant open200
Worst price60.00
Drawdown as % of equity-2.20%
($1,147)
Includes Typical Broker Commissions trade costs of $4.00
4/29/19 9:39 CHRW CH ROBINSON WORLDWIDE LONG 128 81.84 4/30 9:30 81.46 0.34%
Trade id #123462382
Max drawdown($180)
Time4/30/19 9:09
Quant open128
Worst price80.43
Drawdown as % of equity-0.34%
($51)
Includes Typical Broker Commissions trade costs of $2.56
4/26/19 12:17 TSLA TESLA INC. LONG 60 234.22 4/29 9:31 235.86 0.35%
Trade id #123445330
Max drawdown($185)
Time4/26/19 15:18
Quant open60
Worst price231.13
Drawdown as % of equity-0.35%
$97
Includes Typical Broker Commissions trade costs of $1.20
4/26/19 11:01 INTC INTEL LONG 150 51.96 4/29 9:30 52.17 0.12%
Trade id #123443237
Max drawdown($65)
Time4/26/19 12:36
Quant open150
Worst price51.52
Drawdown as % of equity-0.12%
$29
Includes Typical Broker Commissions trade costs of $3.00
4/25/19 10:20 ORLY O'REILLY AUTOMOTIVE LONG 16 368.42 4/26 9:30 380.63 0.04%
Trade id #123427851
Max drawdown($20)
Time4/25/19 10:27
Quant open16
Worst price367.12
Drawdown as % of equity-0.04%
$195
Includes Typical Broker Commissions trade costs of $0.32
4/22/19 9:35 MAT MATTEL LONG 874 11.88 4/23 9:31 12.11 0.22%
Trade id #123384410
Max drawdown($115)
Time4/22/19 10:02
Quant open874
Worst price11.75
Drawdown as % of equity-0.22%
$188
Includes Typical Broker Commissions trade costs of $11.24
4/22/19 9:30 ISRG INTUITIVE SURGICAL LONG 27 492.92 4/23 9:30 495.98 0.32%
Trade id #123383979
Max drawdown($169)
Time4/22/19 12:26
Quant open27
Worst price486.66
Drawdown as % of equity-0.32%
$82
Includes Typical Broker Commissions trade costs of $0.54
4/17/19 12:46 ALXN ALEXION PHARMACEUTICALS LONG 100 126.06 4/18 9:31 126.66 0.32%
Trade id #123346607
Max drawdown($166)
Time4/17/19 14:34
Quant open100
Worst price124.40
Drawdown as % of equity-0.32%
$58
Includes Typical Broker Commissions trade costs of $2.00
4/17/19 11:57 VRTX VERTEX LONG 80 168.96 4/18 9:30 169.96 0.36%
Trade id #123346015
Max drawdown($184)
Time4/17/19 15:59
Quant open80
Worst price166.65
Drawdown as % of equity-0.36%
$78
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    1/31/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    110.4
  • Age
    110 days ago
  • What it trades
    Stocks
  • # Trades
    50
  • # Profitable
    35
  • % Profitable
    70.00%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    6.52%
  • drawdown period
    April 29, 2019 - May 14, 2019
  • Cumul. Return
    0.1%
  • Avg win
    $146.51
  • Avg loss
    $251.00
  • Model Account Values (Raw)
  • Cash
    $49,343
  • Margin Used
    $0
  • Buying Power
    $49,406
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.11
  • Calmar Ratio
    1.918
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05400
  • Return Statistics
  • Ann Return (w trading costs)
    0.2%
  • Ann Return (Compnd, No Fees)
    9.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    392
  • Popularity (Last 6 weeks)
    927
  • C2 Score
    25.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $251
  • Avg Win
    $147
  • # Winners
    35
  • # Losers
    15
  • % Winners
    70.0%
  • Frequency
  • Avg Position Time (mins)
    1755.88
  • Avg Position Time (hrs)
    29.27
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.27
  • Daily leverage (max)
    1.27
  • Unknown
  • Alpha
    -0.00
  • Beta
    0.03
  • Treynor Index
    -0.06
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13042
  • SD
    0.05340
  • Sharpe ratio (Glass type estimate)
    2.44213
  • Sharpe ratio (Hedges UMVUE)
    1.37783
  • df
    2.00000
  • t
    1.22107
  • p
    0.17324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.75183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52379
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.57200
  • Upside Potential Ratio
    18.57200
  • Upside part of mean
    0.14616
  • Downside part of mean
    -0.01574
  • Upside SD
    0.05707
  • Downside SD
    0.00787
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.31927
  • Mean of criterion
    0.13042
  • SD of predictor
    0.01328
  • SD of criterion
    0.05340
  • Covariance
    0.00071
  • r
    0.99887
  • b (slope, estimate of beta)
    4.01739
  • a (intercept, estimate of alpha)
    -1.15222
  • Mean Square Error
    0.00001
  • DF error
    1.00000
  • t(b)
    20.98850
  • p(b)
    0.01515
  • t(a)
    -18.72530
  • p(a)
    0.98302
  • Lowerbound of 95% confidence interval for beta
    1.58530
  • Upperbound of 95% confidence interval for beta
    6.44948
  • Lowerbound of 95% confidence interval for alpha
    -1.93408
  • Upperbound of 95% confidence interval for alpha
    -0.37037
  • Treynor index (mean / b)
    0.03246
  • Jensen alpha (a)
    -1.15222
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12849
  • SD
    0.05267
  • Sharpe ratio (Glass type estimate)
    2.43965
  • Sharpe ratio (Hedges UMVUE)
    1.37642
  • df
    2.00000
  • t
    1.21982
  • p
    0.17343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.74832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52194
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.33280
  • Upside Potential Ratio
    18.33280
  • Upside part of mean
    0.14422
  • Downside part of mean
    -0.01573
  • Upside SD
    0.05624
  • Downside SD
    0.00787
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.31432
  • Mean of criterion
    0.12849
  • SD of predictor
    0.01290
  • SD of criterion
    0.05267
  • Covariance
    0.00068
  • r
    0.99902
  • b (slope, estimate of beta)
    4.07748
  • a (intercept, estimate of alpha)
    -1.15315
  • Mean Square Error
    0.00001
  • DF error
    1.00000
  • t(b)
    22.52250
  • p(b)
    0.01412
  • t(a)
    -20.12930
  • p(a)
    0.98420
  • Lowerbound of 95% confidence interval for beta
    1.77714
  • Upperbound of 95% confidence interval for beta
    6.37781
  • Lowerbound of 95% confidence interval for alpha
    -1.88105
  • Upperbound of 95% confidence interval for alpha
    -0.42525
  • Treynor index (mean / b)
    0.03151
  • Jensen alpha (a)
    -1.15315
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01420
  • Expected Shortfall on VaR
    0.02043
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00239
  • Expected Shortfall on VaR
    0.00450
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.99839
  • Quartile 1
    1.00521
  • Median
    1.01204
  • Quartile 3
    1.02060
  • Maximum
    1.02916
  • Mean of quarter 1
    0.99839
  • Mean of quarter 2
    1.01204
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.02916
  • Inter Quartile Range
    0.01538
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00161
  • Quartile 1
    0.00161
  • Median
    0.00161
  • Quartile 3
    0.00161
  • Maximum
    0.00161
  • 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)
    0.15949
  • Compounded annual return (geometric extrapolation)
    0.16929
  • Calmar ratio (compounded annual return / max draw down)
    105.37200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.28794
  • 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
    0.06312
  • SD
    0.06165
  • Sharpe ratio (Glass type estimate)
    1.02383
  • Sharpe ratio (Hedges UMVUE)
    1.01395
  • df
    78.00000
  • t
    0.56220
  • p
    0.28780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58681
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31263
  • Upside Potential Ratio
    5.99607
  • Upside part of mean
    0.28834
  • Downside part of mean
    -0.22522
  • Upside SD
    0.03815
  • Downside SD
    0.04809
  • N nonnegative terms
    39.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.16869
  • Mean of criterion
    0.06312
  • SD of predictor
    0.10612
  • SD of criterion
    0.06165
  • Covariance
    0.00090
  • r
    0.13754
  • b (slope, estimate of beta)
    0.07991
  • a (intercept, estimate of alpha)
    0.05000
  • Mean Square Error
    0.00378
  • DF error
    77.00000
  • t(b)
    1.21849
  • p(b)
    0.11338
  • t(a)
    0.44137
  • p(a)
    0.33009
  • Lowerbound of 95% confidence interval for beta
    -0.05068
  • Upperbound of 95% confidence interval for beta
    0.21049
  • Lowerbound of 95% confidence interval for alpha
    -0.17433
  • Upperbound of 95% confidence interval for alpha
    0.27361
  • Treynor index (mean / b)
    0.78996
  • Jensen alpha (a)
    0.04964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06122
  • SD
    0.06183
  • Sharpe ratio (Glass type estimate)
    0.99027
  • Sharpe ratio (Hedges UMVUE)
    0.98072
  • df
    78.00000
  • t
    0.54377
  • p
    0.29407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55335
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26496
  • Upside Potential Ratio
    5.94178
  • Upside part of mean
    0.28758
  • Downside part of mean
    -0.22636
  • Upside SD
    0.03802
  • Downside SD
    0.04840
  • N nonnegative terms
    39.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.16304
  • Mean of criterion
    0.06122
  • SD of predictor
    0.10637
  • SD of criterion
    0.06183
  • Covariance
    0.00091
  • r
    0.13896
  • b (slope, estimate of beta)
    0.08077
  • a (intercept, estimate of alpha)
    0.04806
  • Mean Square Error
    0.00380
  • DF error
    77.00000
  • t(b)
    1.23131
  • p(b)
    0.11098
  • t(a)
    0.42630
  • p(a)
    0.33554
  • Lowerbound of 95% confidence interval for beta
    -0.04985
  • Upperbound of 95% confidence interval for beta
    0.21138
  • Lowerbound of 95% confidence interval for alpha
    -0.17642
  • Upperbound of 95% confidence interval for alpha
    0.27253
  • Treynor index (mean / b)
    0.75806
  • Jensen alpha (a)
    0.04806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00603
  • Expected Shortfall on VaR
    0.00762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00192
  • Expected Shortfall on VaR
    0.00438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.98452
  • Quartile 1
    1.00000
  • Median
    1.00010
  • Quartile 3
    1.00114
  • Maximum
    1.00924
  • Mean of quarter 1
    0.99681
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00404
  • Inter Quartile Range
    0.00114
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.08861
  • Mean of outliers low
    0.99161
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.16456
  • Mean of outliers high
    1.00537
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32413
  • VaR(95%) (moments method)
    0.00212
  • Expected Shortfall (moments method)
    0.00504
  • Extreme Value Index (regression method)
    -0.31115
  • VaR(95%) (regression method)
    0.00498
  • Expected Shortfall (regression method)
    0.00838
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00061
  • Median
    0.00299
  • Quartile 3
    0.00561
  • Maximum
    0.04860
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00078
  • Mean of quarter 3
    0.00520
  • Mean of quarter 4
    0.02718
  • Inter Quartile Range
    0.00500
  • 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
    0.16667
  • Mean of outliers high
    0.04860
  • 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)
    0.09034
  • Compounded annual return (geometric extrapolation)
    0.09322
  • Calmar ratio (compounded annual return / max draw down)
    1.91805
  • Compounded annual return / average of 25% largest draw downs
    3.43039
  • Compounded annual return / Expected Shortfall lognormal
    12.24220

Strategy Description

SuperBands is a Quantacula Studio Algorithm that Uses Bollinger Bands and Linear Regressions to Buy Dips in NASDAQ-100 and Former NASDAQ-100 Stocks to place Limits at or near the price when triggered in the Algorithm's Buy Limit Price that meet the conditions of the Strategy.

This Strategy was Presented to the Kentucky Math Association in May 2005 and was not feasible without the Software Packages Updates And Feature Requests Made on the Developer's Website.

Features of the System Allow the Strategy to Buy Dips but only when the Dips do not Gap Below the Limit Prices and This Feature is an update to the model presented in 2005.

What Each Subscriber can Expect is to buy on dips while ignoring Gaps Down and Sell on the Open the Next Day with a Market Order.

Recommended to trade at C2 Broker as the system requires Commission Free Execution to Be Profitable for Each Subscriber.

Happy Trading!--

BWorldOmnimedia

Summary Statistics

Strategy began
2019-01-31
Suggested Minimum Capital
$15,000
# Trades
50
# Profitable
35
% Profitable
70.0%
Correlation S&P500
0.054
Sharpe Ratio
-0.09
Sortino Ratio
-0.11
Beta
0.03
Alpha
-0.00
Leverage
0.27 Average
1.27 Maximum

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 nominal value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.