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This is an archived track record. This track record was archived on 12/21/19 2:36 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Carma FX
(106183568)

Created by: CarmaAdvisory CarmaAdvisory
Started: 10/2016
Stocks
Last trade: 81 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 $99.00 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).
4.9%
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.

(18.6%)
Max Drawdown
566
Num Trades
61.7%
Win Trades
1.1 : 1
Profit Factor
61.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (1.2%)+5.0%+0.6%+4.4%
2017+10.5%+3.8%+2.9%+0.4%(8.2%)+2.0%+0.5%+1.6%+0.6%(1.6%)+1.7%+5.4%+20.1%
2018(1.7%)(11.5%)+5.7%+2.3%(1.2%)(4.7%)+5.4%+2.2%+3.1%(2.1%)+0.6%+1.3%(2%)
2019+1.2%(1.2%)+2.3%+5.0%(15.5%)+6.7%(1.6%)(0.4%)(1.9%)(1.4%)+4.0%(0.8%)(5.2%)
2020+0.2%  -                                                              +0.2%

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 212 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/19 9:30 UA UNDERARMOUR CLASS C SHORT 683 17.30 12/4 9:30 16.74 0.23%
Trade id #126384250
Max drawdown($273)
Time11/27/19 10:25
Quant open683
Worst price17.70
Drawdown as % of equity-0.23%
$377
Includes Typical Broker Commissions trade costs of $5.00
11/18/19 9:46 MHK MOHAWK INDUSTRIES LONG 168 140.02 12/4 9:30 133.60 0.95%
Trade id #126251310
Max drawdown($1,108)
Time12/3/19 0:00
Quant open168
Worst price133.42
Drawdown as % of equity-0.95%
($1,082)
Includes Typical Broker Commissions trade costs of $3.36
11/15/19 15:29 HES HESS LONG 341 67.72 12/4 9:30 60.54 2.33%
Trade id #126233695
Max drawdown($2,728)
Time12/3/19 0:00
Quant open341
Worst price59.72
Drawdown as % of equity-2.33%
($2,455)
Includes Typical Broker Commissions trade costs of $6.82
11/29/19 9:32 GE GENERAL ELECTRIC LONG 2,101 11.26 12/4 9:30 11.17 0.81%
Trade id #126418456
Max drawdown($945)
Time12/3/19 0:00
Quant open2,101
Worst price10.81
Drawdown as % of equity-0.81%
($194)
Includes Typical Broker Commissions trade costs of $5.00
11/27/19 11:06 CTL CENTURYLINK LONG 1,655 14.28 11/29 9:30 14.33 0.01%
Trade id #126387827
Max drawdown($16)
Time11/27/19 11:12
Quant open1,655
Worst price14.27
Drawdown as % of equity-0.01%
$78
Includes Typical Broker Commissions trade costs of $5.00
11/15/19 9:50 LEG LEGGETT & PLATT LONG 435 53.05 11/27 9:30 53.09 0.49%
Trade id #126225784
Max drawdown($561)
Time11/21/19 0:00
Quant open435
Worst price51.76
Drawdown as % of equity-0.49%
$8
Includes Typical Broker Commissions trade costs of $8.70
11/8/19 10:00 NWSA NEWS CORPORATION LONG 1,827 12.65 11/26 10:58 13.04 0.23%
Trade id #126129770
Max drawdown($264)
Time11/21/19 0:00
Quant open1,827
Worst price12.51
Drawdown as % of equity-0.23%
$708
Includes Typical Broker Commissions trade costs of $5.00
11/22/19 9:34 NTAP NETAPP LONG 379 60.62 11/26 9:30 62.42 0.06%
Trade id #126322652
Max drawdown($64)
Time11/22/19 9:45
Quant open379
Worst price60.45
Drawdown as % of equity-0.06%
$674
Includes Typical Broker Commissions trade costs of $7.58
11/18/19 9:30 BWA BORGWARNER LONG 532 44.21 11/26 9:30 43.37 1.03%
Trade id #126250218
Max drawdown($1,191)
Time11/20/19 0:00
Quant open532
Worst price41.97
Drawdown as % of equity-1.03%
($452)
Includes Typical Broker Commissions trade costs of $5.00
11/25/19 9:35 SPY SPDR S&P 500 LONG 300 312.33 11/25 15:50 312.97 0.01%
Trade id #126351909
Max drawdown($13)
Time11/25/19 9:36
Quant open300
Worst price312.29
Drawdown as % of equity-0.01%
$185
Includes Typical Broker Commissions trade costs of $6.00
11/18/19 9:40 SIVB SVB FINANCIAL LONG 101 231.30 11/25 10:15 233.46 0.62%
Trade id #126250937
Max drawdown($719)
Time11/20/19 0:00
Quant open101
Worst price224.18
Drawdown as % of equity-0.62%
$216
Includes Typical Broker Commissions trade costs of $2.02
11/4/19 9:33 HOG HARLEY-DAVIDSON LONG 588 38.53 11/25 9:31 36.58 1.57%
Trade id #126059755
Max drawdown($1,819)
Time11/20/19 0:00
Quant open588
Worst price35.44
Drawdown as % of equity-1.57%
($1,152)
Includes Typical Broker Commissions trade costs of $5.00
11/14/19 9:30 PH PARKER HANNIFIN LONG 119 194.24 11/25 9:30 198.65 0.12%
Trade id #126207386
Max drawdown($136)
Time11/20/19 0:00
Quant open119
Worst price193.09
Drawdown as % of equity-0.12%
$523
Includes Typical Broker Commissions trade costs of $2.38
11/6/19 10:00 BIIB BIOGEN INC. COMMON STOCK LONG 79 288.80 11/21 11:33 287.82 1.18%
Trade id #126091124
Max drawdown($1,368)
Time11/14/19 0:00
Quant open79
Worst price271.48
Drawdown as % of equity-1.18%
($79)
Includes Typical Broker Commissions trade costs of $1.58
11/14/19 9:30 TIF TIFFANY LONG 189 122.33 11/21 9:30 127.28 0.04%
Trade id #126207393
Max drawdown($41)
Time11/14/19 9:33
Quant open189
Worst price122.11
Drawdown as % of equity-0.04%
$932
Includes Typical Broker Commissions trade costs of $3.78
11/15/19 9:41 COTY COTY INC LONG 1,899 12.05 11/18 9:40 12.39 0.44%
Trade id #126225421
Max drawdown($512)
Time11/15/19 10:13
Quant open1,899
Worst price11.78
Drawdown as % of equity-0.44%
$641
Includes Typical Broker Commissions trade costs of $5.00
11/15/19 9:35 SPY SPDR S&P 500 LONG 300 310.56 11/15 15:59 311.66 0.08%
Trade id #126225053
Max drawdown($90)
Time11/15/19 10:00
Quant open300
Worst price310.26
Drawdown as % of equity-0.08%
$324
Includes Typical Broker Commissions trade costs of $6.00
11/11/19 9:38 LRCX LAM RESEARCH LONG 86 269.01 11/15 9:30 280.14 0.1%
Trade id #126152598
Max drawdown($115)
Time11/13/19 0:00
Quant open86
Worst price267.67
Drawdown as % of equity-0.10%
$955
Includes Typical Broker Commissions trade costs of $1.72
11/14/19 9:30 LYB LYONDELLBASELL INDUSTRIES LONG 244 94.71 11/15 9:30 96.68 n/a $476
Includes Typical Broker Commissions trade costs of $4.88
11/14/19 12:06 COTY COTY INC LONG 1,903 12.17 11/15 9:30 12.09 n/a ($157)
Includes Typical Broker Commissions trade costs of $5.00
11/6/19 9:30 VMC VULCAN MATERIALS LONG 171 133.50 11/14 9:30 138.62 0.3%
Trade id #126089878
Max drawdown($342)
Time11/6/19 9:31
Quant open171
Worst price131.50
Drawdown as % of equity-0.30%
$873
Includes Typical Broker Commissions trade costs of $3.42
11/12/19 9:35 SPY SPDR S&P 500 LONG 300 308.77 11/12 11:49 309.39 n/a $180
Includes Typical Broker Commissions trade costs of $6.00
11/7/19 9:35 SPY SPDR S&P 500 LONG 300 308.59 11/7 13:33 308.71 0.01%
Trade id #126109625
Max drawdown($9)
Time11/7/19 9:36
Quant open300
Worst price308.56
Drawdown as % of equity-0.01%
$30
Includes Typical Broker Commissions trade costs of $6.00
10/29/19 11:25 TGT TARGET LONG 207 108.53 11/5 9:36 109.95 0.48%
Trade id #125989036
Max drawdown($542)
Time10/31/19 0:00
Quant open207
Worst price105.91
Drawdown as % of equity-0.48%
$290
Includes Typical Broker Commissions trade costs of $4.14
10/25/19 9:35 UHS UNIVERSAL HEALTH SERVICES LONG 164 137.09 11/5 9:32 141.18 0.92%
Trade id #125947402
Max drawdown($1,034)
Time10/25/19 9:47
Quant open164
Worst price130.78
Drawdown as % of equity-0.92%
$667
Includes Typical Broker Commissions trade costs of $3.28
10/24/19 9:30 TWTR TWITTER INC LONG 597 31.93 11/5 9:30 30.19 1.63%
Trade id #125932550
Max drawdown($1,844)
Time10/31/19 0:00
Quant open597
Worst price28.84
Drawdown as % of equity-1.63%
($1,044)
Includes Typical Broker Commissions trade costs of $5.00
10/24/19 10:17 EFX EQUIFAX LONG 170 132.40 11/4 9:30 139.03 0.08%
Trade id #125934165
Max drawdown($85)
Time10/24/19 10:18
Quant open170
Worst price131.90
Drawdown as % of equity-0.08%
$1,124
Includes Typical Broker Commissions trade costs of $3.40
10/30/19 9:30 CNC CENTENE SHORT 215 53.00 11/1 9:31 53.40 0.27%
Trade id #126003251
Max drawdown($309)
Time10/30/19 11:11
Quant open215
Worst price54.44
Drawdown as % of equity-0.27%
($90)
Includes Typical Broker Commissions trade costs of $4.30
10/29/19 9:30 SBAC SBA COMMUNICATIONS LONG 97 230.30 10/30 9:30 239.31 n/a $872
Includes Typical Broker Commissions trade costs of $1.94
10/21/19 9:36 SPY SPDR S&P 500 LONG 300 299.54 10/21 15:59 300.03 0.16%
Trade id #125874834
Max drawdown($181)
Time10/21/19 10:07
Quant open300
Worst price298.94
Drawdown as % of equity-0.16%
$141
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1234.38
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    566
  • # Profitable
    349
  • % Profitable
    61.70%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    18.62%
  • drawdown period
    April 30, 2019 - Aug 05, 2019
  • Annual Return (Compounded)
    4.9%
  • Avg win
    $531.12
  • Avg loss
    $760.04
  • Model Account Values (Raw)
  • Cash
    $124,303
  • Margin Used
    $0
  • Buying Power
    $124,303
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.31
  • Calmar Ratio
    0.457
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.52%
  • Correlation to SP500
    0.38830
  • Return Percent SP500 (cumu) during strategy life
    54.44%
  • Return Statistics
  • Ann Return (w trading costs)
    4.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.13%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.23%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.049%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    931.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    542
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $760
  • Avg Win
    $531
  • Sum Trade PL (losers)
    $164,928.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $185,362.000
  • # Winners
    349
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    3879
  • Win / Loss
  • # Losers
    217
  • % Winners
    61.7%
  • Frequency
  • Avg Position Time (mins)
    8818.28
  • Avg Position Time (hrs)
    146.97
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    78
  • Leverage
  • Daily leverage (average)
    0.87
  • Daily leverage (max)
    4.31
  • Regression
  • Alpha
    -0.00
  • Beta
    0.40
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    76.40
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    30.117
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.676
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.742
  • Hold-and-Hope Ratio
    0.033
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04864
  • SD
    0.12929
  • Sharpe ratio (Glass type estimate)
    0.37623
  • Sharpe ratio (Hedges UMVUE)
    0.36854
  • df
    37.00000
  • t
    0.66950
  • p
    0.25367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47314
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51719
  • Upside Potential Ratio
    1.91937
  • Upside part of mean
    0.18053
  • Downside part of mean
    -0.13188
  • Upside SD
    0.08734
  • Downside SD
    0.09406
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.10012
  • Mean of criterion
    0.04864
  • SD of predictor
    0.09449
  • SD of criterion
    0.12929
  • Covariance
    0.00544
  • r
    0.44523
  • b (slope, estimate of beta)
    0.60925
  • a (intercept, estimate of alpha)
    -0.01236
  • Mean Square Error
    0.01378
  • DF error
    36.00000
  • t(b)
    2.98339
  • p(b)
    0.00255
  • t(a)
    -0.17894
  • p(a)
    0.57051
  • Lowerbound of 95% confidence interval for beta
    0.19509
  • Upperbound of 95% confidence interval for beta
    1.02342
  • Lowerbound of 95% confidence interval for alpha
    -0.15240
  • Upperbound of 95% confidence interval for alpha
    0.12769
  • Treynor index (mean / b)
    0.07984
  • Jensen alpha (a)
    -0.01236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04019
  • SD
    0.13101
  • Sharpe ratio (Glass type estimate)
    0.30675
  • Sharpe ratio (Hedges UMVUE)
    0.30048
  • df
    37.00000
  • t
    0.54587
  • p
    0.29422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40401
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40933
  • Upside Potential Ratio
    1.79711
  • Upside part of mean
    0.17644
  • Downside part of mean
    -0.13625
  • Upside SD
    0.08490
  • Downside SD
    0.09818
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.09516
  • Mean of criterion
    0.04019
  • SD of predictor
    0.09451
  • SD of criterion
    0.13101
  • Covariance
    0.00547
  • r
    0.44139
  • b (slope, estimate of beta)
    0.61188
  • a (intercept, estimate of alpha)
    -0.01804
  • Mean Square Error
    0.01420
  • DF error
    36.00000
  • t(b)
    2.95139
  • p(b)
    0.00277
  • t(a)
    -0.25836
  • p(a)
    0.60120
  • Lowerbound of 95% confidence interval for beta
    0.19142
  • Upperbound of 95% confidence interval for beta
    1.03235
  • Lowerbound of 95% confidence interval for alpha
    -0.15964
  • Upperbound of 95% confidence interval for alpha
    0.12356
  • Treynor index (mean / b)
    0.06568
  • Jensen alpha (a)
    -0.01804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05716
  • Expected Shortfall on VaR
    0.07185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02014
  • Expected Shortfall on VaR
    0.04467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.89627
  • Quartile 1
    0.99385
  • Median
    1.00842
  • Quartile 3
    1.02430
  • Maximum
    1.07588
  • Mean of quarter 1
    0.96127
  • Mean of quarter 2
    1.00348
  • Mean of quarter 3
    1.01456
  • Mean of quarter 4
    1.04673
  • Inter Quartile Range
    0.03045
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.90064
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.07588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13819
  • VaR(95%) (moments method)
    0.02496
  • Expected Shortfall (moments method)
    0.03992
  • Extreme Value Index (regression method)
    -0.08060
  • VaR(95%) (regression method)
    0.04195
  • Expected Shortfall (regression method)
    0.06050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01338
  • Quartile 1
    0.01897
  • Median
    0.05892
  • Quartile 3
    0.10065
  • Maximum
    0.11158
  • Mean of quarter 1
    0.01338
  • Mean of quarter 2
    0.02084
  • Mean of quarter 3
    0.09700
  • Mean of quarter 4
    0.11158
  • Inter Quartile Range
    0.08167
  • 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)
    0.07599
  • Compounded annual return (geometric extrapolation)
    0.07047
  • Calmar ratio (compounded annual return / max draw down)
    0.63153
  • Compounded annual return / average of 25% largest draw downs
    0.63153
  • Compounded annual return / Expected Shortfall lognormal
    0.98071
  • 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
    0.04868
  • SD
    0.13154
  • Sharpe ratio (Glass type estimate)
    0.37006
  • Sharpe ratio (Hedges UMVUE)
    0.36972
  • df
    831.00000
  • t
    0.65944
  • p
    0.25490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46972
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50298
  • Upside Potential Ratio
    6.41404
  • Upside part of mean
    0.62075
  • Downside part of mean
    -0.57207
  • Upside SD
    0.08903
  • Downside SD
    0.09678
  • N nonnegative terms
    398.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    832.00000
  • Mean of predictor
    0.10582
  • Mean of criterion
    0.04868
  • SD of predictor
    0.12652
  • SD of criterion
    0.13154
  • Covariance
    0.00679
  • r
    0.40803
  • b (slope, estimate of beta)
    0.42423
  • a (intercept, estimate of alpha)
    -0.00200
  • Mean Square Error
    0.01444
  • DF error
    830.00000
  • t(b)
    12.87560
  • p(b)
    0.00000
  • t(a)
    0.05610
  • p(a)
    0.47764
  • Lowerbound of 95% confidence interval for beta
    0.35956
  • Upperbound of 95% confidence interval for beta
    0.48890
  • Lowerbound of 95% confidence interval for alpha
    -0.12875
  • Upperbound of 95% confidence interval for alpha
    0.13633
  • Treynor index (mean / b)
    0.11474
  • Jensen alpha (a)
    0.00379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04000
  • SD
    0.13191
  • Sharpe ratio (Glass type estimate)
    0.30322
  • Sharpe ratio (Hedges UMVUE)
    0.30295
  • df
    831.00000
  • t
    0.54034
  • p
    0.29455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40290
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40750
  • Upside Potential Ratio
    6.28378
  • Upside part of mean
    0.61678
  • Downside part of mean
    -0.57678
  • Upside SD
    0.08804
  • Downside SD
    0.09815
  • N nonnegative terms
    398.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    832.00000
  • Mean of predictor
    0.09777
  • Mean of criterion
    0.04000
  • SD of predictor
    0.12678
  • SD of criterion
    0.13191
  • Covariance
    0.00686
  • r
    0.41013
  • b (slope, estimate of beta)
    0.42674
  • a (intercept, estimate of alpha)
    -0.00172
  • Mean Square Error
    0.01449
  • DF error
    830.00000
  • t(b)
    12.95550
  • p(b)
    0.00000
  • t(a)
    -0.02550
  • p(a)
    0.51017
  • Lowerbound of 95% confidence interval for beta
    0.36208
  • Upperbound of 95% confidence interval for beta
    0.49139
  • Lowerbound of 95% confidence interval for alpha
    -0.13447
  • Upperbound of 95% confidence interval for alpha
    0.13102
  • Treynor index (mean / b)
    0.09373
  • Jensen alpha (a)
    -0.00172
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01316
  • Expected Shortfall on VaR
    0.01651
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00505
  • Expected Shortfall on VaR
    0.01094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    832.00000
  • Minimum
    0.94920
  • Quartile 1
    0.99834
  • Median
    1.00000
  • Quartile 3
    1.00272
  • Maximum
    1.05425
  • Mean of quarter 1
    0.99183
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00113
  • Mean of quarter 4
    1.00855
  • Inter Quartile Range
    0.00438
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.08173
  • Mean of outliers low
    0.98302
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.07812
  • Mean of outliers high
    1.01613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59221
  • VaR(95%) (moments method)
    0.00711
  • Expected Shortfall (moments method)
    0.02002
  • Extreme Value Index (regression method)
    0.33252
  • VaR(95%) (regression method)
    0.00725
  • Expected Shortfall (regression method)
    0.01397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00333
  • Median
    0.00798
  • Quartile 3
    0.02266
  • Maximum
    0.15399
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00653
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.07149
  • Inter Quartile Range
    0.01933
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12903
  • Mean of outliers high
    0.11470
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47643
  • VaR(95%) (moments method)
    0.07310
  • Expected Shortfall (moments method)
    0.16241
  • Extreme Value Index (regression method)
    -0.99392
  • VaR(95%) (regression method)
    0.06647
  • Expected Shortfall (regression method)
    0.07198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07578
  • Compounded annual return (geometric extrapolation)
    0.07026
  • Calmar ratio (compounded annual return / max draw down)
    0.45627
  • Compounded annual return / average of 25% largest draw downs
    0.98288
  • Compounded annual return / Expected Shortfall lognormal
    4.25457
  • 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
    -0.02420
  • SD
    0.13675
  • Sharpe ratio (Glass type estimate)
    -0.17699
  • Sharpe ratio (Hedges UMVUE)
    -0.17597
  • df
    130.00000
  • t
    -0.12515
  • p
    0.50549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.94864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59592
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24278
  • Upside Potential Ratio
    6.79963
  • Upside part of mean
    0.67787
  • Downside part of mean
    -0.70207
  • Upside SD
    0.09285
  • Downside SD
    0.09969
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15312
  • Mean of criterion
    -0.02420
  • SD of predictor
    0.12583
  • SD of criterion
    0.13675
  • Covariance
    0.01223
  • r
    0.71085
  • b (slope, estimate of beta)
    0.77255
  • a (intercept, estimate of alpha)
    -0.14250
  • Mean Square Error
    0.00932
  • DF error
    129.00000
  • t(b)
    11.47920
  • p(b)
    0.08916
  • t(a)
    -1.04065
  • p(a)
    0.55801
  • Lowerbound of 95% confidence interval for beta
    0.63940
  • Upperbound of 95% confidence interval for beta
    0.90571
  • Lowerbound of 95% confidence interval for alpha
    -0.41342
  • Upperbound of 95% confidence interval for alpha
    0.12843
  • Treynor index (mean / b)
    -0.03133
  • Jensen alpha (a)
    -0.14250
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03349
  • SD
    0.13689
  • Sharpe ratio (Glass type estimate)
    -0.24467
  • Sharpe ratio (Hedges UMVUE)
    -0.24325
  • df
    130.00000
  • t
    -0.17301
  • p
    0.50759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.01627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.01522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52871
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33238
  • Upside Potential Ratio
    6.68415
  • Upside part of mean
    0.67355
  • Downside part of mean
    -0.70704
  • Upside SD
    0.09191
  • Downside SD
    0.10077
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14517
  • Mean of criterion
    -0.03349
  • SD of predictor
    0.12629
  • SD of criterion
    0.13689
  • Covariance
    0.01231
  • r
    0.71191
  • b (slope, estimate of beta)
    0.77166
  • a (intercept, estimate of alpha)
    -0.14552
  • Mean Square Error
    0.00931
  • DF error
    129.00000
  • t(b)
    11.51360
  • p(b)
    0.08869
  • t(a)
    -1.06349
  • p(a)
    0.55926
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.63906
  • Upperbound of 95% confidence interval for beta
    0.90427
  • Lowerbound of 95% confidence interval for alpha
    -0.41624
  • Upperbound of 95% confidence interval for alpha
    0.12520
  • Treynor index (mean / b)
    -0.04340
  • Jensen alpha (a)
    -0.14552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01394
  • Expected Shortfall on VaR
    0.01741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00632
  • Expected Shortfall on VaR
    0.01293
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96438
  • Quartile 1
    0.99738
  • Median
    1.00000
  • Quartile 3
    1.00340
  • Maximum
    1.03269
  • Mean of quarter 1
    0.99034
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.00909
  • Inter Quartile Range
    0.00603
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98113
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01988
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21238
  • VaR(95%) (moments method)
    0.00809
  • Expected Shortfall (moments method)
    0.01322
  • Extreme Value Index (regression method)
    0.14887
  • VaR(95%) (regression method)
    0.01091
  • Expected Shortfall (regression method)
    0.01769
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00462
  • Quartile 1
    0.00734
  • Median
    0.01007
  • Quartile 3
    0.04985
  • Maximum
    0.08963
  • Mean of quarter 1
    0.00462
  • Mean of quarter 2
    0.01007
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08963
  • Inter Quartile Range
    0.04251
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265486000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00558
  • Compounded annual return (geometric extrapolation)
    -0.00557
  • Calmar ratio (compounded annual return / max draw down)
    -0.06215
  • Compounded annual return / average of 25% largest draw downs
    -0.06215
  • Compounded annual return / Expected Shortfall lognormal
    -0.31988

Strategy Description

Key elements:
- Signals generated once a day, before market opens.
- Exposure per symbol: 20%
- Maximum exposure: 200% (10 positions)
- Long/short
- Only higly liquid US stocks traded

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$35,000
# Trades
566
# Profitable
349
% Profitable
61.7%
Net Dividends
Correlation S&P500
0.388
Sharpe Ratio
0.23
Sortino Ratio
0.31
Beta
0.40
Alpha
-0.00
Leverage
0.87 Average
4.31 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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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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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.