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Carma Dynamic
(106183568)

Created by: CarmaAdvisory CarmaAdvisory
Started: 10/2016
Stocks
Last trade: 4 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.

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).
9.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(17.5%)
Max Drawdown
362
Num Trades
64.4%
Win Trades
1.3 : 1
Profit Factor
68.0%
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%+2.3%+3.0%(1.8%)            (3.5%)

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
10/18/18 11:51 SPY SPDR S&P 500 SHORT 300 276.22 10/18 15:59 276.10 0.41%
Trade id #120421852
Max drawdown($513)
Time10/18/18 12:42
Quant open-300
Worst price277.93
Drawdown as % of equity-0.41%
$30
Includes Typical Broker Commissions trade costs of $6.00
10/16/18 11:15 SPY SPDR S&P 500 LONG 300 278.38 10/16 15:59 280.36 0.04%
Trade id #120381642
Max drawdown($45)
Time10/16/18 11:52
Quant open300
Worst price278.23
Drawdown as % of equity-0.04%
$588
Includes Typical Broker Commissions trade costs of $6.00
10/10/18 9:30 TDG TRANSDIGM GROUP LONG 73 331.00 10/16 13:28 340.59 0.85%
Trade id #120271899
Max drawdown($1,018)
Time10/11/18 14:47
Quant open73
Worst price317.05
Drawdown as % of equity-0.85%
$699
Includes Typical Broker Commissions trade costs of $1.46
10/10/18 11:38 INTU INTUIT LONG 116 209.62 10/12 9:54 208.72 1.03%
Trade id #120277331
Max drawdown($1,231)
Time10/11/18 14:47
Quant open116
Worst price199.00
Drawdown as % of equity-1.03%
($106)
Includes Typical Broker Commissions trade costs of $2.32
10/4/18 13:42 M MACY'S LONG 743 32.56 10/12 9:42 33.43 0.42%
Trade id #120187756
Max drawdown($497)
Time10/11/18 14:47
Quant open743
Worst price31.89
Drawdown as % of equity-0.42%
$641
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 11:42 ADBE ADOBE INC LONG 97 250.05 10/12 9:31 248.15 1.27%
Trade id #120234871
Max drawdown($1,507)
Time10/10/18 18:37
Quant open97
Worst price234.51
Drawdown as % of equity-1.27%
($186)
Includes Typical Broker Commissions trade costs of $1.94
10/8/18 11:41 ISRG INTUITIVE SURGICAL LONG 46 521.27 10/12 9:30 522.01 0.9%
Trade id #120234829
Max drawdown($1,070)
Time10/11/18 5:56
Quant open46
Worst price498.00
Drawdown as % of equity-0.90%
$33
Includes Typical Broker Commissions trade costs of $0.92
10/10/18 11:08 NVDA NVIDIA LONG 96 252.26 10/12 9:30 245.51 1.45%
Trade id #120276497
Max drawdown($1,727)
Time10/11/18 14:47
Quant open96
Worst price234.26
Drawdown as % of equity-1.45%
($650)
Includes Typical Broker Commissions trade costs of $1.92
10/8/18 11:41 PYPL PAYPAL HOLDINGS CORP LONG 307 79.02 10/12 9:30 78.94 1.43%
Trade id #120234816
Max drawdown($1,697)
Time10/11/18 6:35
Quant open307
Worst price73.49
Drawdown as % of equity-1.43%
($31)
Includes Typical Broker Commissions trade costs of $6.14
10/8/18 11:39 CRM SALESFORCE.COM LONG 164 147.31 10/12 9:30 145.72 1.69%
Trade id #120234631
Max drawdown($2,010)
Time10/11/18 8:01
Quant open164
Worst price135.05
Drawdown as % of equity-1.69%
($264)
Includes Typical Broker Commissions trade costs of $3.28
10/4/18 13:46 ALGN ALIGN TECHNOLOGY LONG 67 356.49 10/12 9:30 325.51 2.92%
Trade id #120187805
Max drawdown($3,476)
Time10/11/18 8:01
Quant open67
Worst price304.60
Drawdown as % of equity-2.92%
($2,077)
Includes Typical Broker Commissions trade costs of $1.34
10/10/18 10:03 AMD ADVANCED MICRO DEVICES INC. C LONG 940 25.95 10/11 9:58 26.00 1.78%
Trade id #120273799
Max drawdown($2,115)
Time10/11/18 7:40
Quant open940
Worst price23.70
Drawdown as % of equity-1.78%
$42
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 11:25 KSS KOHL'S LONG 341 71.12 10/10 10:23 73.78 0.14%
Trade id #120233908
Max drawdown($177)
Time10/8/18 11:36
Quant open341
Worst price70.60
Drawdown as % of equity-0.14%
$900
Includes Typical Broker Commissions trade costs of $6.82
10/2/18 13:28 AMD ADVANCED MICRO DEVICES INC. C LONG 821 29.97 10/9 11:13 27.52 2.71%
Trade id #120139864
Max drawdown($3,423)
Time10/9/18 7:57
Quant open821
Worst price25.80
Drawdown as % of equity-2.71%
($2,016)
Includes Typical Broker Commissions trade costs of $5.00
10/2/18 9:39 CMG CHIPOTLE MEXICAN GRILL LONG 55 446.00 10/9 10:03 455.29 0.64%
Trade id #120133979
Max drawdown($801)
Time10/3/18 11:58
Quant open55
Worst price431.44
Drawdown as % of equity-0.64%
$510
Includes Typical Broker Commissions trade costs of $1.10
10/3/18 9:35 SPY SPDR S&P 500 LONG 300 292.85 10/3 11:01 292.37 0.12%
Trade id #120158288
Max drawdown($156)
Time10/3/18 11:01
Quant open300
Worst price292.33
Drawdown as % of equity-0.12%
($150)
Includes Typical Broker Commissions trade costs of $6.00
10/1/18 9:35 SPY SPDR S&P 500 LONG 300 292.28 10/1 12:22 291.95 0.08%
Trade id #120115083
Max drawdown($99)
Time10/1/18 12:22
Quant open0
Worst price291.95
Drawdown as % of equity-0.08%
($105)
Includes Typical Broker Commissions trade costs of $6.00
9/19/18 9:32 JWN NORDSTROM LONG 387 63.57 9/27 9:31 60.18 1.24%
Trade id #119926962
Max drawdown($1,586)
Time9/25/18 13:27
Quant open387
Worst price59.47
Drawdown as % of equity-1.24%
($1,320)
Includes Typical Broker Commissions trade costs of $7.74
9/6/18 10:06 TRIP TRIPADVISOR LONG 470 51.13 9/25 9:30 51.43 0.75%
Trade id #119744882
Max drawdown($965)
Time9/17/18 15:41
Quant open470
Worst price49.08
Drawdown as % of equity-0.75%
$132
Includes Typical Broker Commissions trade costs of $9.40
9/18/18 15:30 UA UNDERARMOUR CLASS C LONG 1,409 17.43 9/20 9:39 17.98 0.42%
Trade id #119917034
Max drawdown($543)
Time9/19/18 9:34
Quant open1,409
Worst price17.04
Drawdown as % of equity-0.42%
$770
Includes Typical Broker Commissions trade costs of $5.00
9/14/18 12:56 KR KROGER LONG 865 28.29 9/17 13:03 28.92 0.51%
Trade id #119868355
Max drawdown($648)
Time9/17/18 9:34
Quant open865
Worst price27.54
Drawdown as % of equity-0.51%
$540
Includes Typical Broker Commissions trade costs of $5.00
9/13/18 9:38 AMD ADVANCED MICRO DEVICES INC. C SHORT 360 33.83 9/14 9:30 31.43 0.09%
Trade id #119840104
Max drawdown($111)
Time9/13/18 9:43
Quant open-360
Worst price34.14
Drawdown as % of equity-0.09%
$857
Includes Typical Broker Commissions trade costs of $7.20
9/13/18 9:35 SPY SPDR S&P 500 LONG 300 290.39 9/13 10:39 290.13 0.06%
Trade id #119839890
Max drawdown($78)
Time9/13/18 10:39
Quant open300
Worst price290.13
Drawdown as % of equity-0.06%
($84)
Includes Typical Broker Commissions trade costs of $6.00
9/7/18 9:32 ILMN ILLUMINA LONG 70 344.00 9/12 9:31 351.66 0.06%
Trade id #119759158
Max drawdown($70)
Time9/10/18 10:18
Quant open70
Worst price342.99
Drawdown as % of equity-0.06%
$535
Includes Typical Broker Commissions trade costs of $1.40
9/11/18 9:35 SPY SPDR S&P 500 SHORT 300 287.10 9/11 9:55 287.66 0.17%
Trade id #119797032
Max drawdown($216)
Time9/11/18 9:53
Quant open-300
Worst price287.82
Drawdown as % of equity-0.17%
($174)
Includes Typical Broker Commissions trade costs of $6.00
8/28/18 10:33 RL RALPH LAUREN LONG 178 135.13 9/11 9:30 132.46 0.82%
Trade id #119625359
Max drawdown($1,025)
Time9/4/18 10:27
Quant open178
Worst price129.37
Drawdown as % of equity-0.82%
($479)
Includes Typical Broker Commissions trade costs of $3.56
8/29/18 9:38 CTL CENTURYLINK LONG 1,081 22.34 9/7 9:30 21.92 1.11%
Trade id #119643191
Max drawdown($1,383)
Time9/4/18 9:35
Quant open1,081
Worst price21.06
Drawdown as % of equity-1.11%
($459)
Includes Typical Broker Commissions trade costs of $5.00
8/30/18 14:22 KORS MICHAEL KORS HOLDINGS LONG 333 72.14 9/6 9:31 74.90 0.16%
Trade id #119669804
Max drawdown($193)
Time9/5/18 10:42
Quant open333
Worst price71.56
Drawdown as % of equity-0.16%
$912
Includes Typical Broker Commissions trade costs of $6.66
9/5/18 9:30 AMD ADVANCED MICRO DEVICES INC. C SHORT 404 29.47 9/6 9:30 28.12 0.15%
Trade id #119728469
Max drawdown($189)
Time9/5/18 9:33
Quant open-404
Worst price29.94
Drawdown as % of equity-0.15%
$537
Includes Typical Broker Commissions trade costs of $8.08
8/27/18 9:31 AMD ADVANCED MICRO DEVICES INC. C SHORT 477 25.18 8/29 9:30 24.36 0.81%
Trade id #119603100
Max drawdown($1,011)
Time8/27/18 13:45
Quant open-477
Worst price27.30
Drawdown as % of equity-0.81%
$381
Includes Typical Broker Commissions trade costs of $9.54

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    748.79
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    362
  • # Profitable
    233
  • % Profitable
    64.40%
  • Avg trade duration
    6.6 days
  • Max peak-to-valley drawdown
    17.55%
  • drawdown period
    Jan 03, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $503.74
  • Avg loss
    $726.92
  • Model Account Values (Raw)
  • Cash
    $126,162
  • Margin Used
    $0
  • Buying Power
    $126,162
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.011
  • Calmar Ratio
    0.787
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.40100
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    358
  • Popularity (Last 6 weeks)
    708
  • C2 Score
    89.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $727
  • Avg Win
    $504
  • # Winners
    233
  • # Losers
    129
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    9491.53
  • Avg Position Time (hrs)
    158.19
  • Avg Trade Length
    6.6 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10040
  • SD
    0.13061
  • Sharpe ratio (Glass type estimate)
    0.76868
  • Sharpe ratio (Hedges UMVUE)
    0.74329
  • df
    23.00000
  • t
    1.08707
  • p
    0.14413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14574
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20826
  • Upside Potential Ratio
    2.60569
  • Upside part of mean
    0.21651
  • Downside part of mean
    -0.11612
  • Upside SD
    0.10141
  • Downside SD
    0.08309
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.11952
  • Mean of criterion
    0.10040
  • SD of predictor
    0.07882
  • SD of criterion
    0.13061
  • Covariance
    0.00399
  • r
    0.38756
  • b (slope, estimate of beta)
    0.64221
  • a (intercept, estimate of alpha)
    0.02364
  • Mean Square Error
    0.01516
  • DF error
    22.00000
  • t(b)
    1.97195
  • p(b)
    0.03066
  • t(a)
    0.24792
  • p(a)
    0.40325
  • Lowerbound of 95% confidence interval for beta
    -0.03319
  • Upperbound of 95% confidence interval for beta
    1.31760
  • Lowerbound of 95% confidence interval for alpha
    -0.17412
  • Upperbound of 95% confidence interval for alpha
    0.22140
  • Treynor index (mean / b)
    0.15633
  • Jensen alpha (a)
    0.02364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09160
  • SD
    0.13101
  • Sharpe ratio (Glass type estimate)
    0.69919
  • Sharpe ratio (Hedges UMVUE)
    0.67610
  • df
    23.00000
  • t
    0.98881
  • p
    0.16652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07571
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05997
  • Upside Potential Ratio
    2.44251
  • Upside part of mean
    0.21108
  • Downside part of mean
    -0.11948
  • Upside SD
    0.09838
  • Downside SD
    0.08642
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.11571
  • Mean of criterion
    0.09160
  • SD of predictor
    0.07852
  • SD of criterion
    0.13101
  • Covariance
    0.00394
  • r
    0.38288
  • b (slope, estimate of beta)
    0.63885
  • a (intercept, estimate of alpha)
    0.01768
  • Mean Square Error
    0.01531
  • DF error
    22.00000
  • t(b)
    1.94400
  • p(b)
    0.03240
  • t(a)
    0.18527
  • p(a)
    0.42736
  • Lowerbound of 95% confidence interval for beta
    -0.04268
  • Upperbound of 95% confidence interval for beta
    1.32038
  • Lowerbound of 95% confidence interval for alpha
    -0.18019
  • Upperbound of 95% confidence interval for alpha
    0.21554
  • Treynor index (mean / b)
    0.14338
  • Jensen alpha (a)
    0.01768
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05311
  • Expected Shortfall on VaR
    0.06787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01646
  • Expected Shortfall on VaR
    0.03724
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.90500
  • Quartile 1
    0.99412
  • Median
    1.01017
  • Quartile 3
    1.02978
  • Maximum
    1.07588
  • Mean of quarter 1
    0.96471
  • Mean of quarter 2
    1.00414
  • Mean of quarter 3
    1.01697
  • Mean of quarter 4
    1.05695
  • Inter Quartile Range
    0.03566
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.90500
  • 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)
    0.57900
  • VaR(95%) (moments method)
    0.03683
  • Expected Shortfall (moments method)
    0.09771
  • Extreme Value Index (regression method)
    1.15932
  • VaR(95%) (regression method)
    0.04121
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01338
  • Quartile 1
    0.01711
  • Median
    0.02084
  • Quartile 3
    0.05892
  • Maximum
    0.09700
  • Mean of quarter 1
    0.01338
  • Mean of quarter 2
    0.02084
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09700
  • Inter Quartile Range
    0.04181
  • 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)
    0.13500
  • Compounded annual return (geometric extrapolation)
    0.12694
  • Calmar ratio (compounded annual return / max draw down)
    1.30867
  • Compounded annual return / average of 25% largest draw downs
    1.30867
  • Compounded annual return / Expected Shortfall lognormal
    1.87048
  • 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
    0.09449
  • SD
    0.12579
  • Sharpe ratio (Glass type estimate)
    0.75117
  • Sharpe ratio (Hedges UMVUE)
    0.75011
  • df
    531.00000
  • t
    1.07040
  • p
    0.14246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12629
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01096
  • Upside Potential Ratio
    6.64576
  • Upside part of mean
    0.62114
  • Downside part of mean
    -0.52666
  • Upside SD
    0.08421
  • Downside SD
    0.09346
  • N nonnegative terms
    267.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.09975
  • Mean of criterion
    0.09449
  • SD of predictor
    0.10752
  • SD of criterion
    0.12579
  • Covariance
    0.00554
  • r
    0.40950
  • b (slope, estimate of beta)
    0.47908
  • a (intercept, estimate of alpha)
    0.04700
  • Mean Square Error
    0.01319
  • DF error
    530.00000
  • t(b)
    10.33350
  • p(b)
    0.00000
  • t(a)
    0.57840
  • p(a)
    0.28162
  • Lowerbound of 95% confidence interval for beta
    0.38801
  • Upperbound of 95% confidence interval for beta
    0.57016
  • Lowerbound of 95% confidence interval for alpha
    -0.11191
  • Upperbound of 95% confidence interval for alpha
    0.20531
  • Treynor index (mean / b)
    0.19723
  • Jensen alpha (a)
    0.04670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08652
  • SD
    0.12636
  • Sharpe ratio (Glass type estimate)
    0.68473
  • Sharpe ratio (Hedges UMVUE)
    0.68376
  • df
    531.00000
  • t
    0.97571
  • p
    0.16483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05982
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91204
  • Upside Potential Ratio
    6.51005
  • Upside part of mean
    0.61758
  • Downside part of mean
    -0.53106
  • Upside SD
    0.08346
  • Downside SD
    0.09487
  • N nonnegative terms
    267.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.09392
  • Mean of criterion
    0.08652
  • SD of predictor
    0.10790
  • SD of criterion
    0.12636
  • Covariance
    0.00563
  • r
    0.41267
  • b (slope, estimate of beta)
    0.48327
  • a (intercept, estimate of alpha)
    0.04113
  • Mean Square Error
    0.01327
  • DF error
    530.00000
  • t(b)
    10.42990
  • p(b)
    0.00000
  • t(a)
    0.50799
  • p(a)
    0.30584
  • Lowerbound of 95% confidence interval for beta
    0.39225
  • Upperbound of 95% confidence interval for beta
    0.57430
  • Lowerbound of 95% confidence interval for alpha
    -0.11792
  • Upperbound of 95% confidence interval for alpha
    0.20018
  • Treynor index (mean / b)
    0.17903
  • Jensen alpha (a)
    0.04113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01243
  • Expected Shortfall on VaR
    0.01564
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00449
  • Expected Shortfall on VaR
    0.00991
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    532.00000
  • Minimum
    0.94920
  • Quartile 1
    0.99867
  • Median
    1.00012
  • Quartile 3
    1.00278
  • Maximum
    1.03389
  • Mean of quarter 1
    0.99243
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00123
  • Mean of quarter 4
    1.00847
  • Inter Quartile Range
    0.00412
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.07331
  • Mean of outliers low
    0.98306
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.08835
  • Mean of outliers high
    1.01463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53310
  • VaR(95%) (moments method)
    0.00602
  • Expected Shortfall (moments method)
    0.01521
  • Extreme Value Index (regression method)
    0.28930
  • VaR(95%) (regression method)
    0.00680
  • Expected Shortfall (regression method)
    0.01271
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00290
  • Median
    0.00743
  • Quartile 3
    0.01264
  • Maximum
    0.15399
  • Mean of quarter 1
    0.00113
  • Mean of quarter 2
    0.00622
  • Mean of quarter 3
    0.00928
  • Mean of quarter 4
    0.06401
  • Inter Quartile Range
    0.00974
  • 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
    0.16000
  • Mean of outliers high
    0.08469
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04484
  • VaR(95%) (moments method)
    0.04066
  • Expected Shortfall (moments method)
    0.06003
  • Extreme Value Index (regression method)
    0.92919
  • VaR(95%) (regression method)
    0.07197
  • Expected Shortfall (regression method)
    1.05644
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12881
  • Compounded annual return (geometric extrapolation)
    0.12123
  • Calmar ratio (compounded annual return / max draw down)
    0.78725
  • Compounded annual return / average of 25% largest draw downs
    1.89391
  • Compounded annual return / Expected Shortfall lognormal
    7.74923
  • 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
    0.05258
  • SD
    0.14057
  • Sharpe ratio (Glass type estimate)
    0.37406
  • Sharpe ratio (Hedges UMVUE)
    0.37190
  • df
    130.00000
  • t
    0.26450
  • p
    0.48840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14407
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46690
  • Upside Potential Ratio
    5.20067
  • Upside part of mean
    0.58570
  • Downside part of mean
    -0.53312
  • Upside SD
    0.08329
  • Downside SD
    0.11262
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    0.05258
  • SD of predictor
    0.10857
  • SD of criterion
    0.14057
  • Covariance
    0.00628
  • r
    0.41129
  • b (slope, estimate of beta)
    0.53252
  • a (intercept, estimate of alpha)
    0.03519
  • Mean Square Error
    0.01654
  • DF error
    129.00000
  • t(b)
    5.12493
  • p(b)
    0.24574
  • t(a)
    0.19344
  • p(a)
    0.48916
  • Lowerbound of 95% confidence interval for beta
    0.32694
  • Upperbound of 95% confidence interval for beta
    0.73811
  • Lowerbound of 95% confidence interval for alpha
    -0.32477
  • Upperbound of 95% confidence interval for alpha
    0.39516
  • Treynor index (mean / b)
    0.09874
  • Jensen alpha (a)
    0.03519
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04265
  • SD
    0.14185
  • Sharpe ratio (Glass type estimate)
    0.30066
  • Sharpe ratio (Hedges UMVUE)
    0.29893
  • df
    130.00000
  • t
    0.21260
  • p
    0.49068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07097
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37176
  • Upside Potential Ratio
    5.07485
  • Upside part of mean
    0.58221
  • Downside part of mean
    -0.53956
  • Upside SD
    0.08255
  • Downside SD
    0.11472
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    0.04265
  • SD of predictor
    0.10889
  • SD of criterion
    0.14185
  • Covariance
    0.00639
  • r
    0.41384
  • b (slope, estimate of beta)
    0.53913
  • a (intercept, estimate of alpha)
    0.02821
  • Mean Square Error
    0.01681
  • DF error
    129.00000
  • t(b)
    5.16313
  • p(b)
    0.24427
  • t(a)
    0.15388
  • p(a)
    0.49138
  • Lowerbound of 95% confidence interval for beta
    0.33254
  • Upperbound of 95% confidence interval for beta
    0.74573
  • Lowerbound of 95% confidence interval for alpha
    -0.33455
  • Upperbound of 95% confidence interval for alpha
    0.39098
  • Treynor index (mean / b)
    0.07911
  • Jensen alpha (a)
    0.02821
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01415
  • Expected Shortfall on VaR
    0.01775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00473
  • Expected Shortfall on VaR
    0.01068
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94920
  • Quartile 1
    0.99951
  • Median
    1.00000
  • Quartile 3
    1.00215
  • Maximum
    1.03138
  • Mean of quarter 1
    0.99218
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00090
  • Mean of quarter 4
    1.00820
  • Inter Quartile Range
    0.00264
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98166
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01340
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.07804
  • VaR(95%) (moments method)
    0.00619
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.78956
  • VaR(95%) (regression method)
    0.00661
  • Expected Shortfall (regression method)
    0.03733
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00229
  • Quartile 1
    0.01105
  • Median
    0.05026
  • Quartile 3
    0.06918
  • Maximum
    0.07273
  • Mean of quarter 1
    0.00667
  • Mean of quarter 2
    0.05026
  • Mean of quarter 3
    0.06918
  • Mean of quarter 4
    0.07273
  • Inter Quartile Range
    0.05812
  • 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)
    0.07182
  • Compounded annual return (geometric extrapolation)
    0.07311
  • Calmar ratio (compounded annual return / max draw down)
    1.00515
  • Compounded annual return / average of 25% largest draw downs
    1.00515
  • Compounded annual return / Expected Shortfall lognormal
    4.11875

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
362
# Profitable
233
% Profitable
64.4%
Net Dividends
Correlation S&P500
0.401
Sharpe Ratio
0.750

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.