Collective2 Collective2
C2Star Strategy offall +22.3% Cumul. Return since Jan 12, 2023 Hypothetical

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JWB Stock and ETF ORB
(128743489)

Created by: JohnBennett JohnBennett
Started: 04/2020
Stocks
Last trade: 6 days ago
Trading style: Equity Momentum 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 $200.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
33.2%
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.

(13.4%)
Max Drawdown
1053
Num Trades
53.4%
Win Trades
1.3 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +3.2%+3.5%+1.7%+15.1%+9.9%(2.6%)(2.2%)+15.8%+8.8%+65.0%
2021+9.4%+3.5%(7.6%)+2.8%+4.3%+7.9%(1.4%)(2.6%)(0.1%)(0.7%)+12.6%+3.7%+34.6%
2022+1.3%+2.5%+1.0%+4.2%(1.4%)(8.4%)+7.3%(2.1%)(0.3%)+2.1%(0.3%)(1.5%)+3.8%
2023+4.1%(0.3%)(3.3%)                                                      +0.4%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 1,500 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/21/23 9:33 SHOP SHOPIFY INC LONG 2,300 44.58 3/21 15:59 45.79 0.43%
Trade id #143976219
Max drawdown($1,000)
Time3/21/23 9:39
Quant open2,300
Worst price44.14
Drawdown as % of equity-0.43%
 $2,790
Includes Typical Broker Commissions trade costs of $5.00
3/21/23 9:58 AMZN AMAZON.COM LONG 1,000 99.14 3/21 15:59 100.45 0.37%
Trade id #143976989
Max drawdown($869)
Time3/21/23 10:52
Quant open1,000
Worst price98.27
Drawdown as % of equity-0.37%
 $1,306
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 9:47 AN AUTONATION LONG 33 122.52 3/15 15:59 125.54 0.03%
Trade id #143910366
Max drawdown($74)
Time3/15/23 12:12
Quant open33
Worst price120.26
Drawdown as % of equity-0.03%
 $99
Includes Typical Broker Commissions trade costs of $0.66
3/15/23 9:38 BK BANK OF NEW YORK MELLON LONG 1,370 44.00 3/15 15:59 43.95 0.45%
Trade id #143910103
Max drawdown($1,055)
Time3/15/23 14:18
Quant open1,370
Worst price43.23
Drawdown as % of equity-0.45%
 ($68)
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 9:32 FTI TECHNICFMC PLC LONG 4,584 12.96 3/15 15:59 12.64 1.5%
Trade id #143909772
Max drawdown($3,501)
Time3/15/23 12:56
Quant open4,584
Worst price12.20
Drawdown as % of equity-1.50%
 ($1,444)
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 12:43 DOW DOW INC LONG 886 49.75 3/15 13:04 49.79 0.03%
Trade id #143914781
Max drawdown($60)
Time3/15/23 12:58
Quant open886
Worst price49.68
Drawdown as % of equity-0.03%
 $35
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 13:00 GM GENERAL MOTORS LONG 7 33.77 3/15 13:04 33.74 0%
Trade id #143915170
Max drawdown($0)
Time3/15/23 13:03
Quant open7
Worst price33.73
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.14
3/15/23 12:43 FLR FLUOR LONG 3 29.07 3/15 13:04 29.05 0%
Trade id #143914785
Max drawdown($0)
Time3/15/23 13:04
Quant open3
Worst price28.95
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.06
3/15/23 12:44 GM GENERAL MOTORS LONG 1 33.94 3/15 12:56 33.79 0%
Trade id #143914812
Max drawdown($0)
Time3/15/23 12:56
Quant open1
Worst price33.75
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
3/15/23 12:44 UAL UNITED AIRLINES HOLDINGS INC LONG 1 42.49 3/15 12:56 42.55 0%
Trade id #143914808
Max drawdown($0)
Time3/15/23 12:56
Quant open1
Worst price42.44
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
3/15/23 9:32 FLR FLUOR LONG 1,902 31.35 3/15 12:42 29.10 1.87%
Trade id #143909801
Max drawdown($4,369)
Time3/15/23 12:42
Quant open1,902
Worst price29.05
Drawdown as % of equity-1.87%
 ($4,270)
Includes Typical Broker Commissions trade costs of $5.00
3/9/23 10:12 CDNS CADENCE DESIGN SYSTEMS LONG 1,000 201.42 3/9 10:41 201.27 0.3%
Trade id #143827162
Max drawdown($727)
Time3/9/23 10:28
Quant open1,000
Worst price200.69
Drawdown as % of equity-0.30%
 ($154)
Includes Typical Broker Commissions trade costs of $5.00
3/8/23 10:33 CDNS CADENCE DESIGN SYSTEMS LONG 1,000 198.22 3/8 15:59 199.09 0.68%
Trade id #143815083
Max drawdown($1,624)
Time3/8/23 13:30
Quant open1,000
Worst price196.60
Drawdown as % of equity-0.68%
 $865
Includes Typical Broker Commissions trade costs of $5.00
3/1/23 9:32 KSS KOHL'S LONG 2,126 27.48 3/1 15:59 27.55 0.76%
Trade id #143732345
Max drawdown($1,823)
Time3/1/23 11:38
Quant open2,126
Worst price26.62
Drawdown as % of equity-0.76%
 $155
Includes Typical Broker Commissions trade costs of $5.00
3/1/23 11:09 VTR VENTAS LONG 1,222 47.13 3/1 15:59 47.55 0.18%
Trade id #143735204
Max drawdown($420)
Time3/1/23 11:45
Quant open1,222
Worst price46.79
Drawdown as % of equity-0.18%
 $504
Includes Typical Broker Commissions trade costs of $5.00
2/21/23 10:39 FAZ DIREXION DAILY FINANCIAL BEAR LONG 2,950 16.88 2/21 15:54 17.04 0.08%
Trade id #143648594
Max drawdown($185)
Time2/21/23 10:42
Quant open2,950
Worst price16.82
Drawdown as % of equity-0.08%
 $465
Includes Typical Broker Commissions trade costs of $5.00
2/9/23 11:55 NWL NEWELL BRANDS INC LONG 4,113 14.81 2/9 15:59 14.59 0.61%
Trade id #143526727
Max drawdown($1,448)
Time2/9/23 15:34
Quant open4,113
Worst price14.46
Drawdown as % of equity-0.61%
 ($936)
Includes Typical Broker Commissions trade costs of $5.00
2/9/23 9:40 NVDA NVIDIA LONG 500 228.79 2/9 12:45 226.28 0.62%
Trade id #143522606
Max drawdown($1,488)
Time2/9/23 12:45
Quant open500
Worst price225.81
Drawdown as % of equity-0.62%
 ($1,264)
Includes Typical Broker Commissions trade costs of $10.00
2/7/23 12:41 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,100 16.86 2/7 15:59 17.71 0.91%
Trade id #143491742
Max drawdown($2,170)
Time2/7/23 13:35
Quant open3,100
Worst price16.16
Drawdown as % of equity-0.91%
 $2,642
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 9:39 MSFT MICROSOFT LONG 400 263.14 2/7 15:59 267.97 0.43%
Trade id #143486312
Max drawdown($1,027)
Time2/7/23 10:00
Quant open400
Worst price260.57
Drawdown as % of equity-0.43%
 $1,926
Includes Typical Broker Commissions trade costs of $8.00
2/2/23 14:57 NCLH NORWEGIAN CRUISE LINE HOLDINGS SHORT 6 16.76 2/2 15:59 17.12 0%
Trade id #143436419
Max drawdown($2)
Time2/2/23 15:58
Quant open6
Worst price17.14
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.12
2/2/23 9:41 PNR PENTAIR SHORT 860 59.54 2/2 15:59 60.14 0.48%
Trade id #143429335
Max drawdown($1,126)
Time2/2/23 14:00
Quant open860
Worst price60.85
Drawdown as % of equity-0.48%
 ($521)
Includes Typical Broker Commissions trade costs of $5.00
2/2/23 9:33 KMX CARMAX SHORT 653 78.95 2/2 15:59 79.37 0.54%
Trade id #143428948
Max drawdown($1,289)
Time2/2/23 10:46
Quant open653
Worst price80.92
Drawdown as % of equity-0.54%
 ($284)
Includes Typical Broker Commissions trade costs of $5.00
2/2/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,490 34.41 2/2 15:59 33.09 1.4%
Trade id #143428300
Max drawdown($3,287)
Time2/2/23 14:01
Quant open1,490
Worst price32.20
Drawdown as % of equity-1.40%
 ($1,974)
Includes Typical Broker Commissions trade costs of $5.00
2/1/23 14:52 TSLA TESLA INC. SHORT 316 179.39 2/1 15:59 181.37 0.58%
Trade id #143419045
Max drawdown($1,394)
Time2/1/23 15:42
Quant open316
Worst price183.81
Drawdown as % of equity-0.58%
 ($631)
Includes Typical Broker Commissions trade costs of $6.32
1/31/23 11:24 MSFT MICROSOFT LONG 410 245.92 1/31 15:59 247.54 0.11%
Trade id #143400812
Max drawdown($260)
Time1/31/23 12:03
Quant open410
Worst price245.28
Drawdown as % of equity-0.11%
 $659
Includes Typical Broker Commissions trade costs of $8.20
1/31/23 9:41 ROKU ROKU INC. CLASS A COMMON STOCK LONG 1,000 56.11 1/31 15:59 57.43 0.23%
Trade id #143398172
Max drawdown($545)
Time1/31/23 9:45
Quant open1,000
Worst price55.56
Drawdown as % of equity-0.23%
 $1,322
Includes Typical Broker Commissions trade costs of $5.00
1/31/23 9:37 AMZN AMAZON.COM LONG 1,100 102.20 1/31 15:59 103.08 0.3%
Trade id #143398036
Max drawdown($707)
Time1/31/23 9:40
Quant open1,100
Worst price101.56
Drawdown as % of equity-0.30%
 $968
Includes Typical Broker Commissions trade costs of $5.00
1/31/23 13:45 ILMN ILLUMINA LONG 500 214.49 1/31 15:19 212.13 0.51%
Trade id #143403373
Max drawdown($1,226)
Time1/31/23 15:19
Quant open500
Worst price212.04
Drawdown as % of equity-0.51%
 ($1,193)
Includes Typical Broker Commissions trade costs of $10.00
1/30/23 10:07 BIDU BAIDU LONG 750 142.13 1/30 14:50 139.84 1.2%
Trade id #143384893
Max drawdown($2,870)
Time1/30/23 10:50
Quant open750
Worst price138.30
Drawdown as % of equity-1.20%
 ($1,723)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1064.71
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    1053
  • # Profitable
    562
  • % Profitable
    53.40%
  • Avg trade duration
    5.3 hours
  • Max peak-to-valley drawdown
    13.38%
  • drawdown period
    May 12, 2022 - July 15, 2022
  • Annual Return (Compounded)
    33.2%
  • Avg win
    $1,144
  • Avg loss
    $1,010
  • Model Account Values (Raw)
  • Cash
    $246,711
  • Margin Used
    $0
  • Buying Power
    $246,711
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.49
  • Sortino Ratio
    2.49
  • Calmar Ratio
    3.362
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    91.37%
  • Correlation to SP500
    0.06790
  • Return Percent SP500 (cumu) during strategy life
    39.98%
  • Return Statistics
  • Ann Return (w trading costs)
    33.2%
  • Slump
  • Current Slump as Pcnt Equity
    8.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.332%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    82.66%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    704
  • Popularity (Last 6 weeks)
    912
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    915
  • Popularity (7 days, Percentile 1000 scale)
    859
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,014
  • Avg Win
    $1,144
  • Sum Trade PL (losers)
    $497,943.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $643,091.000
  • # Winners
    562
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    562613
  • Win / Loss
  • # Losers
    491
  • % Winners
    53.4%
  • Frequency
  • Avg Position Time (mins)
    318.17
  • Avg Position Time (hrs)
    5.30
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.95
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.08
  • Beta
    0.06
  • Treynor Index
    1.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -217.792
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.490
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.386
  • Hold-and-Hope Ratio
    0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31957
  • SD
    0.18289
  • Sharpe ratio (Glass type estimate)
    1.74735
  • Sharpe ratio (Hedges UMVUE)
    1.70728
  • df
    33.00000
  • t
    2.94123
  • p
    0.00297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94238
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47620
  • Upside Potential Ratio
    5.89358
  • Upside part of mean
    0.42076
  • Downside part of mean
    -0.10119
  • Upside SD
    0.18942
  • Downside SD
    0.07139
  • N nonnegative terms
    23.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.10900
  • Mean of criterion
    0.31957
  • SD of predictor
    0.18283
  • SD of criterion
    0.18289
  • Covariance
    0.01092
  • r
    0.32653
  • b (slope, estimate of beta)
    0.32664
  • a (intercept, estimate of alpha)
    0.28397
  • Mean Square Error
    0.03082
  • DF error
    32.00000
  • t(b)
    1.95426
  • p(b)
    0.02973
  • t(a)
    2.68228
  • p(a)
    0.00574
  • Lowerbound of 95% confidence interval for beta
    -0.01382
  • Upperbound of 95% confidence interval for beta
    0.66710
  • Lowerbound of 95% confidence interval for alpha
    0.06832
  • Upperbound of 95% confidence interval for alpha
    0.49961
  • Treynor index (mean / b)
    0.97835
  • Jensen alpha (a)
    0.28397
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29949
  • SD
    0.17640
  • Sharpe ratio (Glass type estimate)
    1.69778
  • Sharpe ratio (Hedges UMVUE)
    1.65885
  • df
    33.00000
  • t
    2.85778
  • p
    0.00367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42760
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89009
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06941
  • Upside Potential Ratio
    5.47716
  • Upside part of mean
    0.40310
  • Downside part of mean
    -0.10361
  • Upside SD
    0.17961
  • Downside SD
    0.07360
  • N nonnegative terms
    23.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.09223
  • Mean of criterion
    0.29949
  • SD of predictor
    0.18222
  • SD of criterion
    0.17640
  • Covariance
    0.01057
  • r
    0.32876
  • b (slope, estimate of beta)
    0.31826
  • a (intercept, estimate of alpha)
    0.27014
  • Mean Square Error
    0.02862
  • DF error
    32.00000
  • t(b)
    1.96919
  • p(b)
    0.02882
  • t(a)
    2.65868
  • p(a)
    0.00607
  • Lowerbound of 95% confidence interval for beta
    -0.01095
  • Upperbound of 95% confidence interval for beta
    0.64746
  • Lowerbound of 95% confidence interval for alpha
    0.06317
  • Upperbound of 95% confidence interval for alpha
    0.47711
  • Treynor index (mean / b)
    0.94105
  • Jensen alpha (a)
    0.27014
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05711
  • Expected Shortfall on VaR
    0.07680
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01405
  • Expected Shortfall on VaR
    0.03183
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.92688
  • Quartile 1
    0.99751
  • Median
    1.02372
  • Quartile 3
    1.04961
  • Maximum
    1.15271
  • Mean of quarter 1
    0.97131
  • Mean of quarter 2
    1.01033
  • Mean of quarter 3
    1.03366
  • Mean of quarter 4
    1.09900
  • Inter Quartile Range
    0.05210
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.14331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73152
  • VaR(95%) (moments method)
    0.01219
  • Expected Shortfall (moments method)
    0.01408
  • Extreme Value Index (regression method)
    -0.27014
  • VaR(95%) (regression method)
    0.03717
  • Expected Shortfall (regression method)
    0.05032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00722
  • Quartile 1
    0.01270
  • Median
    0.04720
  • Quartile 3
    0.06757
  • Maximum
    0.09246
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.06757
  • Mean of quarter 4
    0.09246
  • Inter Quartile Range
    0.05487
  • 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)
    0.53948
  • Compounded annual return (geometric extrapolation)
    0.38736
  • Calmar ratio (compounded annual return / max draw down)
    4.18947
  • Compounded annual return / average of 25% largest draw downs
    4.18947
  • Compounded annual return / Expected Shortfall lognormal
    5.04398
  • 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
    0.29822
  • SD
    0.15530
  • Sharpe ratio (Glass type estimate)
    1.92025
  • Sharpe ratio (Hedges UMVUE)
    1.91835
  • df
    757.00000
  • t
    3.26620
  • p
    0.00057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07469
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24665
  • Upside Potential Ratio
    9.42558
  • Upside part of mean
    0.86578
  • Downside part of mean
    -0.56756
  • Upside SD
    0.12645
  • Downside SD
    0.09185
  • N nonnegative terms
    317.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    758.00000
  • Mean of predictor
    0.10235
  • Mean of criterion
    0.29822
  • SD of predictor
    0.19327
  • SD of criterion
    0.15530
  • Covariance
    0.00196
  • r
    0.06525
  • b (slope, estimate of beta)
    0.05243
  • a (intercept, estimate of alpha)
    0.29300
  • Mean Square Error
    0.02405
  • DF error
    756.00000
  • t(b)
    1.79789
  • p(b)
    0.03630
  • t(a)
    3.21043
  • p(a)
    0.00069
  • Lowerbound of 95% confidence interval for beta
    -0.00482
  • Upperbound of 95% confidence interval for beta
    0.10968
  • Lowerbound of 95% confidence interval for alpha
    0.11378
  • Upperbound of 95% confidence interval for alpha
    0.47192
  • Treynor index (mean / b)
    5.68787
  • Jensen alpha (a)
    0.29285
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28602
  • SD
    0.15498
  • Sharpe ratio (Glass type estimate)
    1.84548
  • Sharpe ratio (Hedges UMVUE)
    1.84365
  • df
    757.00000
  • t
    3.13901
  • p
    0.00088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99968
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05631
  • Upside Potential Ratio
    9.16668
  • Upside part of mean
    0.85784
  • Downside part of mean
    -0.57182
  • Upside SD
    0.12467
  • Downside SD
    0.09358
  • N nonnegative terms
    317.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    758.00000
  • Mean of predictor
    0.08363
  • Mean of criterion
    0.28602
  • SD of predictor
    0.19364
  • SD of criterion
    0.15498
  • Covariance
    0.00193
  • r
    0.06445
  • b (slope, estimate of beta)
    0.05158
  • a (intercept, estimate of alpha)
    0.28170
  • Mean Square Error
    0.02395
  • DF error
    756.00000
  • t(b)
    1.77581
  • p(b)
    0.03808
  • t(a)
    3.09495
  • p(a)
    0.00102
  • Lowerbound of 95% confidence interval for beta
    -0.00544
  • Upperbound of 95% confidence interval for beta
    0.10861
  • Lowerbound of 95% confidence interval for alpha
    0.10302
  • Upperbound of 95% confidence interval for alpha
    0.46039
  • Treynor index (mean / b)
    5.54466
  • Jensen alpha (a)
    0.28170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01455
  • Expected Shortfall on VaR
    0.01848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00540
  • Expected Shortfall on VaR
    0.01140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    758.00000
  • Minimum
    0.91685
  • Quartile 1
    0.99772
  • Median
    1.00000
  • Quartile 3
    1.00331
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99208
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    1.01225
  • Inter Quartile Range
    0.00560
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.05013
  • Mean of outliers low
    0.98107
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.09235
  • Mean of outliers high
    1.02182
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38300
  • VaR(95%) (moments method)
    0.00729
  • Expected Shortfall (moments method)
    0.01405
  • Extreme Value Index (regression method)
    0.21885
  • VaR(95%) (regression method)
    0.00688
  • Expected Shortfall (regression method)
    0.01121
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00389
  • Median
    0.01019
  • Quartile 3
    0.03673
  • Maximum
    0.10970
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.02414
  • Mean of quarter 4
    0.07067
  • Inter Quartile Range
    0.03284
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    0.09949
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.35733
  • VaR(95%) (moments method)
    0.07143
  • Expected Shortfall (moments method)
    0.07407
  • Extreme Value Index (regression method)
    -0.51243
  • VaR(95%) (regression method)
    0.08175
  • Expected Shortfall (regression method)
    0.09312
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51153
  • Compounded annual return (geometric extrapolation)
    0.36879
  • Calmar ratio (compounded annual return / max draw down)
    3.36185
  • Compounded annual return / average of 25% largest draw downs
    5.21809
  • Compounded annual return / Expected Shortfall lognormal
    19.95660
  • 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
    0.02813
  • SD
    0.07410
  • Sharpe ratio (Glass type estimate)
    0.37965
  • Sharpe ratio (Hedges UMVUE)
    0.37745
  • df
    130.00000
  • t
    0.26845
  • p
    0.48823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14964
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61092
  • Upside Potential Ratio
    6.91360
  • Upside part of mean
    0.31837
  • Downside part of mean
    -0.29024
  • Upside SD
    0.05772
  • Downside SD
    0.04605
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14204
  • Mean of criterion
    0.02813
  • SD of predictor
    0.21599
  • SD of criterion
    0.07410
  • Covariance
    0.00191
  • r
    0.11948
  • b (slope, estimate of beta)
    0.04099
  • a (intercept, estimate of alpha)
    0.02231
  • Mean Square Error
    0.00545
  • DF error
    129.00000
  • t(b)
    1.36680
  • p(b)
    0.42412
  • t(a)
    0.21343
  • p(a)
    0.48804
  • Lowerbound of 95% confidence interval for beta
    -0.01835
  • Upperbound of 95% confidence interval for beta
    0.10033
  • Lowerbound of 95% confidence interval for alpha
    -0.18452
  • Upperbound of 95% confidence interval for alpha
    0.22914
  • Treynor index (mean / b)
    0.68633
  • Jensen alpha (a)
    0.02231
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02541
  • SD
    0.07392
  • Sharpe ratio (Glass type estimate)
    0.34381
  • Sharpe ratio (Hedges UMVUE)
    0.34182
  • df
    130.00000
  • t
    0.24311
  • p
    0.48934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.43029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11394
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54897
  • Upside Potential Ratio
    6.84107
  • Upside part of mean
    0.31669
  • Downside part of mean
    -0.29128
  • Upside SD
    0.05728
  • Downside SD
    0.04629
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11899
  • Mean of criterion
    0.02541
  • SD of predictor
    0.21500
  • SD of criterion
    0.07392
  • Covariance
    0.00187
  • r
    0.11753
  • b (slope, estimate of beta)
    0.04041
  • a (intercept, estimate of alpha)
    0.02061
  • Mean Square Error
    0.00543
  • DF error
    129.00000
  • t(b)
    1.34425
  • p(b)
    0.42535
  • t(a)
    0.19761
  • p(a)
    0.48893
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.01907
  • Upperbound of 95% confidence interval for beta
    0.09988
  • Lowerbound of 95% confidence interval for alpha
    -0.18570
  • Upperbound of 95% confidence interval for alpha
    0.22691
  • Treynor index (mean / b)
    0.62892
  • Jensen alpha (a)
    0.02061
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00739
  • Expected Shortfall on VaR
    0.00928
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00326
  • Expected Shortfall on VaR
    0.00664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98389
  • Quartile 1
    0.99970
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02141
  • Mean of quarter 1
    0.99594
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00493
  • Inter Quartile Range
    0.00030
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.99543
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.00540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14194
  • VaR(95%) (moments method)
    0.00281
  • Expected Shortfall (moments method)
    0.00462
  • Extreme Value Index (regression method)
    0.25579
  • VaR(95%) (regression method)
    0.00366
  • Expected Shortfall (regression method)
    0.00683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00331
  • Median
    0.00922
  • Quartile 3
    0.02080
  • Maximum
    0.03745
  • Mean of quarter 1
    0.00145
  • Mean of quarter 2
    0.00545
  • Mean of quarter 3
    0.01298
  • Mean of quarter 4
    0.03043
  • Inter Quartile Range
    0.01748
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -367034000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05404
  • Compounded annual return (geometric extrapolation)
    0.05477
  • Calmar ratio (compounded annual return / max draw down)
    1.46241
  • Compounded annual return / average of 25% largest draw downs
    1.79991
  • Compounded annual return / Expected Shortfall lognormal
    5.90303

Strategy Description

For the ORB strategy, there is a universe of symbols that are tracked daily, and buy orders are placed above the open for a sub-set of symbols that have a short-term pullback from a bullish trend. This strategy exits at the close of each day so there is no overnight risk.

As a complement to the first strategy, mean reversion positions are entered for overvalued and undervalued stocks selected from the S&P 500. The selected stocks must match a specific pattern in order to be considered for the trading day. A trade is initiated if the stocks continue to reverse during the trading day. Once a position is entered, it is exited by the close.

***ALL SUBSCRIBERS ARE ENTILED TO FREE ACCESS TO MY OTHER PROGRAM - SPXL/SPXS NEURAL NETWORK
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-04-26
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.5%
Rank # 
#71
# Trades
1053
# Profitable
562
% Profitable
53.4%
Correlation S&P500
0.068
Sharpe Ratio
1.49
Sortino Ratio
2.49
Beta
0.06
Alpha
0.08
Leverage
0.95 Average
3.31 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.