Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Dutch Volatrader
(113101763)

Created by: DutchVolatrader DutchVolatrader
Started: 08/2017
Stocks
Last trade: 2 days ago
Trading style: Equity Short-term Reversal

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
1.8%
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.

(24.1%)
Max Drawdown
145
Num Trades
61.4%
Win Trades
1.2 : 1
Profit Factor
48.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +4.5%(0.4%)(0.1%)  -  (0.4%)+3.6%
2018(2.7%)+2.4%+3.7%(0.6%)+1.4%+1.8%+10.0%+3.8%+3.8%(8.8%)  -  (6.5%)+7.0%
2019+0.9%+2.9%(0.6%)+0.6%(3.3%)+0.1%(2.6%)(4.5%)                        (6.6%)

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 114 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/19 9:30 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 144 18.76 8/20 9:31 18.92 0.58%
Trade id #124765885
Max drawdown($146)
Time8/16/19 0:00
Quant open144
Worst price17.74
Drawdown as % of equity-0.58%
$20
Includes Typical Broker Commissions trade costs of $2.88
8/2/19 9:38 WIFI BOINGO WIRELESS LONG 203 13.36 8/20 9:31 11.41 2.02%
Trade id #124736794
Max drawdown($513)
Time8/15/19 0:00
Quant open203
Worst price10.83
Drawdown as % of equity-2.02%
($400)
Includes Typical Broker Commissions trade costs of $4.06
8/12/19 9:45 CC CHEMOURS CO LONG 216 12.55 8/19 9:31 13.20 0.71%
Trade id #124880899
Max drawdown($181)
Time8/15/19 0:00
Quant open216
Worst price11.71
Drawdown as % of equity-0.71%
$136
Includes Typical Broker Commissions trade costs of $4.32
8/2/19 9:31 GVA GRANITE CONSTRUCTION LONG 85 31.97 8/19 9:30 28.85 1.7%
Trade id #124736357
Max drawdown($444)
Time8/14/19 0:00
Quant open85
Worst price26.74
Drawdown as % of equity-1.70%
($267)
Includes Typical Broker Commissions trade costs of $1.70
8/5/19 12:10 NSTG NANOSTRING TECHNOLOGIES INC. LONG 106 25.70 8/14 9:30 25.16 0.6%
Trade id #124771074
Max drawdown($159)
Time8/5/19 12:10
Quant open106
Worst price24.20
Drawdown as % of equity-0.60%
($59)
Includes Typical Broker Commissions trade costs of $2.12
7/17/19 14:03 ATRA ATARA BIOTHERAPEUTICS INC LONG 181 15.24 8/12 9:30 13.26 2.2%
Trade id #124502914
Max drawdown($606)
Time7/17/19 14:03
Quant open181
Worst price11.89
Drawdown as % of equity-2.20%
($362)
Includes Typical Broker Commissions trade costs of $3.62
8/6/19 9:31 BDX BECTON DICKINSON LONG 12 235.48 8/9 9:30 252.57 0.3%
Trade id #124788693
Max drawdown($77)
Time8/6/19 9:31
Quant open12
Worst price229.00
Drawdown as % of equity-0.30%
$205
Includes Typical Broker Commissions trade costs of $0.24
8/1/19 14:23 MXIM MAXIM INTEGRATED PRODUCTS LONG 49 56.00 8/9 9:30 54.81 0.53%
Trade id #124725134
Max drawdown($142)
Time8/1/19 14:23
Quant open49
Worst price53.09
Drawdown as % of equity-0.53%
($59)
Includes Typical Broker Commissions trade costs of $0.98
8/5/19 15:05 MCHP MICROCHIP TECHNOLOGY LONG 33 82.88 8/8 9:30 88.72 n/a $192
Includes Typical Broker Commissions trade costs of $0.66
7/9/19 9:52 GTT GTT COMMUNICATIONS INC. LONG 167 16.50 7/24 9:30 12.87 2.44%
Trade id #124387264
Max drawdown($682)
Time7/9/19 9:52
Quant open167
Worst price12.41
Drawdown as % of equity-2.44%
($609)
Includes Typical Broker Commissions trade costs of $3.34
7/3/19 9:41 WMGI WRIGHT MEDICAL GROUP NV LONG 106 26.16 7/8 9:30 26.54 n/a $38
Includes Typical Broker Commissions trade costs of $2.12
6/25/19 14:56 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 289 9.50 7/8 9:30 9.34 0.52%
Trade id #124226283
Max drawdown($144)
Time6/25/19 14:56
Quant open289
Worst price9.00
Drawdown as % of equity-0.52%
($52)
Includes Typical Broker Commissions trade costs of $5.78
6/7/19 9:30 CBAY CYMABAY THERAPEUTICS INC. COMM LONG 254 10.79 7/2 9:30 7.16 5.27%
Trade id #123976717
Max drawdown($1,516)
Time6/7/19 9:30
Quant open254
Worst price4.82
Drawdown as % of equity-5.27%
($927)
Includes Typical Broker Commissions trade costs of $5.08
6/25/19 15:53 FIVE FIVE BELOW INC LONG 23 118.53 7/2 9:30 125.07 0.06%
Trade id #124227164
Max drawdown($17)
Time6/25/19 15:53
Quant open23
Worst price117.79
Drawdown as % of equity-0.06%
$150
Includes Typical Broker Commissions trade costs of $0.46
5/28/19 13:53 EOLS EVOLUS INC. COMMON STOCK LONG 180 15.23 6/6 9:30 16.68 1.23%
Trade id #123847881
Max drawdown($374)
Time6/3/19 7:51
Quant open180
Worst price13.15
Drawdown as % of equity-1.23%
$257
Includes Typical Broker Commissions trade costs of $3.60
5/30/19 9:30 PVH PVH LONG 29 90.58 6/5 9:30 91.69 0.77%
Trade id #123872476
Max drawdown($234)
Time5/31/19 9:33
Quant open29
Worst price82.51
Drawdown as % of equity-0.77%
$31
Includes Typical Broker Commissions trade costs of $0.58
5/21/19 9:30 MNK MALLINCKRODT PUBLIC LIMITED CO LONG 222 9.14 6/5 9:30 9.71 0.53%
Trade id #123751268
Max drawdown($159)
Time5/31/19 14:17
Quant open222
Worst price8.42
Drawdown as % of equity-0.53%
$123
Includes Typical Broker Commissions trade costs of $4.44
5/20/19 9:32 TSLA TESLA INC. LONG 14 199.75 6/5 9:30 198.68 1.05%
Trade id #123736368
Max drawdown($318)
Time6/3/19 14:51
Quant open14
Worst price176.99
Drawdown as % of equity-1.05%
($15)
Includes Typical Broker Commissions trade costs of $0.28
5/14/19 9:51 RL RALPH LAUREN LONG 24 110.14 6/4 9:30 108.64 0.58%
Trade id #123661467
Max drawdown($176)
Time5/31/19 9:49
Quant open24
Worst price102.77
Drawdown as % of equity-0.58%
($36)
Includes Typical Broker Commissions trade costs of $0.48
5/10/19 15:46 TVTY TIVITY HEALTH INC LONG 143 18.85 5/28 9:31 18.88 0.48%
Trade id #123627470
Max drawdown($147)
Time5/23/19 9:36
Quant open143
Worst price17.82
Drawdown as % of equity-0.48%
$1
Includes Typical Broker Commissions trade costs of $2.86
5/1/19 11:26 TROX TRONOX HOLDINGS PLC LONG 204 13.52 5/22 9:30 10.81 2.25%
Trade id #123492018
Max drawdown($695)
Time5/20/19 11:19
Quant open204
Worst price10.11
Drawdown as % of equity-2.25%
($557)
Includes Typical Broker Commissions trade costs of $4.08
5/3/19 9:50 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 71 38.64 5/15 9:30 36.90 0.87%
Trade id #123520076
Max drawdown($265)
Time5/13/19 13:13
Quant open71
Worst price34.90
Drawdown as % of equity-0.87%
($125)
Includes Typical Broker Commissions trade costs of $1.42
5/1/19 9:30 HRTX HERON THERAPEUTICS INC. COMMO LONG 133 16.30 5/13 9:30 17.59 n/a $169
Includes Typical Broker Commissions trade costs of $2.66
4/12/19 11:09 DERM DERMIRA INC. COMMON STOCK LONG 226 12.20 5/9 9:30 11.03 1.6%
Trade id #123296856
Max drawdown($497)
Time5/7/19 16:24
Quant open226
Worst price10.00
Drawdown as % of equity-1.60%
($269)
Includes Typical Broker Commissions trade costs of $4.52
5/1/19 9:36 MNK MALLINCKRODT PUBLIC LIMITED CO LONG 187 14.78 5/9 9:30 16.85 0.8%
Trade id #123489692
Max drawdown($248)
Time5/1/19 10:01
Quant open187
Worst price13.45
Drawdown as % of equity-0.80%
$383
Includes Typical Broker Commissions trade costs of $3.74
4/18/19 10:32 NVTA INVITAE CORP LONG 128 21.62 4/30 9:30 24.77 0.06%
Trade id #123358938
Max drawdown($17)
Time4/18/19 10:40
Quant open128
Worst price21.48
Drawdown as % of equity-0.06%
$400
Includes Typical Broker Commissions trade costs of $2.56
4/17/19 13:05 TMO THERMO FISHER SCIENTIFIC LONG 11 255.96 4/26 9:30 270.00 0.19%
Trade id #123346799
Max drawdown($59)
Time4/23/19 7:55
Quant open11
Worst price250.52
Drawdown as % of equity-0.19%
$154
Includes Typical Broker Commissions trade costs of $0.22
3/25/19 10:16 PYX PYXUS INTERNATIONAL INC LONG 104 26.29 4/23 9:30 21.11 3.29%
Trade id #123058162
Max drawdown($1,001)
Time4/17/19 12:18
Quant open104
Worst price16.66
Drawdown as % of equity-3.29%
($541)
Includes Typical Broker Commissions trade costs of $2.08
3/28/19 10:08 CDNA CAREDX INC LONG 86 31.90 4/12 9:30 30.88 1.42%
Trade id #123113113
Max drawdown($433)
Time4/5/19 10:04
Quant open86
Worst price26.86
Drawdown as % of equity-1.42%
($90)
Includes Typical Broker Commissions trade costs of $1.72
3/27/19 9:46 IRTC IRHYTHM TECHNOLOGIES INC. COMMON STOCK LONG 36 76.73 4/11 9:30 73.74 1.31%
Trade id #123095792
Max drawdown($404)
Time4/2/19 9:49
Quant open36
Worst price65.49
Drawdown as % of equity-1.31%
($109)
Includes Typical Broker Commissions trade costs of $0.72

Statistics

  • Strategy began
    8/11/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    741.22
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    145
  • # Profitable
    89
  • % Profitable
    61.40%
  • Avg trade duration
    13.8 days
  • Max peak-to-valley drawdown
    24.15%
  • drawdown period
    Sept 21, 2018 - Aug 15, 2019
  • Annual Return (Compounded)
    1.8%
  • Avg win
    $215.19
  • Avg loss
    $277.38
  • Model Account Values (Raw)
  • Cash
    $26,724
  • Margin Used
    $0
  • Buying Power
    $26,024
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.07
  • Calmar Ratio
    0.394
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.36670
  • Return Statistics
  • Ann Return (w trading costs)
    1.8%
  • Ann Return (Compnd, No Fees)
    7.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    774
  • C2 Score
    263
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $277
  • Avg Win
    $215
  • # Winners
    89
  • # Losers
    56
  • % Winners
    61.4%
  • Frequency
  • Avg Position Time (mins)
    19881.10
  • Avg Position Time (hrs)
    331.35
  • Avg Trade Length
    13.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    1.11
  • Regression
  • Alpha
    -0.00
  • Beta
    0.26
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    15.286
  • Avg(MAE) / Avg(PL) - Winning trades
    0.567
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.727
  • Hold-and-Hope Ratio
    0.068
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07425
  • SD
    0.11590
  • Sharpe ratio (Glass type estimate)
    0.64063
  • Sharpe ratio (Hedges UMVUE)
    0.61849
  • df
    22.00000
  • t
    0.88691
  • p
    0.19236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04595
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25914
  • Upside Potential Ratio
    3.35142
  • Upside part of mean
    0.19763
  • Downside part of mean
    -0.12338
  • Upside SD
    0.09915
  • Downside SD
    0.05897
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.08818
  • Mean of criterion
    0.07425
  • SD of predictor
    0.09856
  • SD of criterion
    0.11590
  • Covariance
    0.00342
  • r
    0.29923
  • b (slope, estimate of beta)
    0.35187
  • a (intercept, estimate of alpha)
    0.04322
  • Mean Square Error
    0.01281
  • DF error
    21.00000
  • t(b)
    1.43708
  • p(b)
    0.31239
  • t(a)
    0.51112
  • p(a)
    0.42958
  • Lowerbound of 95% confidence interval for beta
    -0.15733
  • Upperbound of 95% confidence interval for beta
    0.86107
  • Lowerbound of 95% confidence interval for alpha
    -0.13264
  • Upperbound of 95% confidence interval for alpha
    0.21909
  • Treynor index (mean / b)
    0.21102
  • Jensen alpha (a)
    0.04322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06760
  • SD
    0.11408
  • Sharpe ratio (Glass type estimate)
    0.59250
  • Sharpe ratio (Hedges UMVUE)
    0.57203
  • df
    22.00000
  • t
    0.82029
  • p
    0.21043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84044
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99780
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13054
  • Upside Potential Ratio
    3.21886
  • Upside part of mean
    0.19246
  • Downside part of mean
    -0.12486
  • Upside SD
    0.09620
  • Downside SD
    0.05979
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.08300
  • Mean of criterion
    0.06760
  • SD of predictor
    0.09916
  • SD of criterion
    0.11408
  • Covariance
    0.00349
  • r
    0.30837
  • b (slope, estimate of beta)
    0.35478
  • a (intercept, estimate of alpha)
    0.03815
  • Mean Square Error
    0.01234
  • DF error
    21.00000
  • t(b)
    1.48550
  • p(b)
    0.30684
  • t(a)
    0.46159
  • p(a)
    0.43630
  • Lowerbound of 95% confidence interval for beta
    -0.14189
  • Upperbound of 95% confidence interval for beta
    0.85144
  • Lowerbound of 95% confidence interval for alpha
    -0.13372
  • Upperbound of 95% confidence interval for alpha
    0.21002
  • Treynor index (mean / b)
    0.19053
  • Jensen alpha (a)
    0.03815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04738
  • Expected Shortfall on VaR
    0.06033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02346
  • Expected Shortfall on VaR
    0.04009
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.95843
  • Quartile 1
    0.98258
  • Median
    1.00297
  • Quartile 3
    1.02467
  • Maximum
    1.06997
  • Mean of quarter 1
    0.97265
  • Mean of quarter 2
    0.99270
  • Mean of quarter 3
    1.01508
  • Mean of quarter 4
    1.05473
  • Inter Quartile Range
    0.04209
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23065
  • VaR(95%) (moments method)
    0.03032
  • Expected Shortfall (moments method)
    0.03571
  • Extreme Value Index (regression method)
    0.01962
  • VaR(95%) (regression method)
    0.03421
  • Expected Shortfall (regression method)
    0.04418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01605
  • Quartile 1
    0.01609
  • Median
    0.01612
  • Quartile 3
    0.06458
  • Maximum
    0.11304
  • Mean of quarter 1
    0.01605
  • Mean of quarter 2
    0.01612
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11304
  • Inter Quartile Range
    0.04849
  • 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)
    0.10480
  • Compounded annual return (geometric extrapolation)
    0.10021
  • Calmar ratio (compounded annual return / max draw down)
    0.88653
  • Compounded annual return / average of 25% largest draw downs
    0.88653
  • Compounded annual return / Expected Shortfall lognormal
    1.66111
  • 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
    0.04721
  • SD
    0.09845
  • Sharpe ratio (Glass type estimate)
    0.47953
  • Sharpe ratio (Hedges UMVUE)
    0.47884
  • df
    522.00000
  • t
    0.67751
  • p
    0.24919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86638
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73540
  • Upside Potential Ratio
    7.09645
  • Upside part of mean
    0.45558
  • Downside part of mean
    -0.40837
  • Upside SD
    0.07458
  • Downside SD
    0.06420
  • N nonnegative terms
    216.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    523.00000
  • Mean of predictor
    0.07160
  • Mean of criterion
    0.04721
  • SD of predictor
    0.14552
  • SD of criterion
    0.09845
  • Covariance
    0.00561
  • r
    0.39123
  • b (slope, estimate of beta)
    0.26469
  • a (intercept, estimate of alpha)
    0.02800
  • Mean Square Error
    0.00823
  • DF error
    521.00000
  • t(b)
    9.70339
  • p(b)
    -0.00000
  • t(a)
    0.44004
  • p(a)
    0.33004
  • Lowerbound of 95% confidence interval for beta
    0.21110
  • Upperbound of 95% confidence interval for beta
    0.31828
  • Lowerbound of 95% confidence interval for alpha
    -0.09790
  • Upperbound of 95% confidence interval for alpha
    0.15442
  • Treynor index (mean / b)
    0.17837
  • Jensen alpha (a)
    0.02826
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04239
  • SD
    0.09814
  • Sharpe ratio (Glass type estimate)
    0.43190
  • Sharpe ratio (Hedges UMVUE)
    0.43128
  • df
    522.00000
  • t
    0.61021
  • p
    0.27099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81875
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65506
  • Upside Potential Ratio
    6.99761
  • Upside part of mean
    0.45280
  • Downside part of mean
    -0.41041
  • Upside SD
    0.07371
  • Downside SD
    0.06471
  • N nonnegative terms
    216.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    523.00000
  • Mean of predictor
    0.06099
  • Mean of criterion
    0.04239
  • SD of predictor
    0.14585
  • SD of criterion
    0.09814
  • Covariance
    0.00565
  • r
    0.39460
  • b (slope, estimate of beta)
    0.26552
  • a (intercept, estimate of alpha)
    0.02619
  • Mean Square Error
    0.00815
  • DF error
    521.00000
  • t(b)
    9.80237
  • p(b)
    -0.00000
  • t(a)
    0.40987
  • p(a)
    0.34103
  • Lowerbound of 95% confidence interval for beta
    0.21230
  • Upperbound of 95% confidence interval for beta
    0.31873
  • Lowerbound of 95% confidence interval for alpha
    -0.09936
  • Upperbound of 95% confidence interval for alpha
    0.15174
  • Treynor index (mean / b)
    0.15964
  • Jensen alpha (a)
    0.02619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00976
  • Expected Shortfall on VaR
    0.01227
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00818
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    523.00000
  • Minimum
    0.97106
  • Quartile 1
    0.99895
  • Median
    1.00000
  • Quartile 3
    1.00170
  • Maximum
    1.04769
  • Mean of quarter 1
    0.99418
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.00660
  • Inter Quartile Range
    0.00275
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.10516
  • Mean of outliers low
    0.98966
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.08795
  • Mean of outliers high
    1.01234
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49629
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.01100
  • Extreme Value Index (regression method)
    0.11093
  • VaR(95%) (regression method)
    0.00549
  • Expected Shortfall (regression method)
    0.00887
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00141
  • Median
    0.00377
  • Quartile 3
    0.01344
  • Maximum
    0.18471
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00272
  • Mean of quarter 3
    0.00660
  • Mean of quarter 4
    0.05878
  • Inter Quartile Range
    0.01204
  • 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
    0.10000
  • Mean of outliers high
    0.11134
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83636
  • VaR(95%) (moments method)
    0.06373
  • Expected Shortfall (moments method)
    0.38220
  • Extreme Value Index (regression method)
    2.23198
  • VaR(95%) (regression method)
    0.07299
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07546
  • Compounded annual return (geometric extrapolation)
    0.07282
  • Calmar ratio (compounded annual return / max draw down)
    0.39425
  • Compounded annual return / average of 25% largest draw downs
    1.23898
  • Compounded annual return / Expected Shortfall lognormal
    5.93683
  • 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
    -0.13738
  • SD
    0.08987
  • Sharpe ratio (Glass type estimate)
    -1.52866
  • Sharpe ratio (Hedges UMVUE)
    -1.51983
  • df
    130.00000
  • t
    -1.08093
  • p
    0.54719
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.30379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25227
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25813
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.84229
  • Upside Potential Ratio
    5.41074
  • Upside part of mean
    0.40349
  • Downside part of mean
    -0.54087
  • Upside SD
    0.05026
  • Downside SD
    0.07457
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07871
  • Mean of criterion
    -0.13738
  • SD of predictor
    0.12951
  • SD of criterion
    0.08987
  • Covariance
    0.00630
  • r
    0.54142
  • b (slope, estimate of beta)
    0.37570
  • a (intercept, estimate of alpha)
    -0.16695
  • Mean Square Error
    0.00575
  • DF error
    129.00000
  • t(b)
    7.31408
  • p(b)
    0.17299
  • t(a)
    -1.55526
  • p(a)
    0.58610
  • Lowerbound of 95% confidence interval for beta
    0.27407
  • Upperbound of 95% confidence interval for beta
    0.47732
  • Lowerbound of 95% confidence interval for alpha
    -0.37934
  • Upperbound of 95% confidence interval for alpha
    0.04544
  • Treynor index (mean / b)
    -0.36568
  • Jensen alpha (a)
    -0.16695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14143
  • SD
    0.09022
  • Sharpe ratio (Glass type estimate)
    -1.56760
  • Sharpe ratio (Hedges UMVUE)
    -1.55854
  • df
    130.00000
  • t
    -1.10846
  • p
    0.54838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33681
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21973
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88141
  • Upside Potential Ratio
    5.35012
  • Upside part of mean
    0.40219
  • Downside part of mean
    -0.54363
  • Upside SD
    0.05003
  • Downside SD
    0.07517
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07033
  • Mean of criterion
    -0.14143
  • SD of predictor
    0.12991
  • SD of criterion
    0.09022
  • Covariance
    0.00634
  • r
    0.54114
  • b (slope, estimate of beta)
    0.37582
  • a (intercept, estimate of alpha)
    -0.16787
  • Mean Square Error
    0.00580
  • DF error
    129.00000
  • t(b)
    7.30870
  • p(b)
    0.17314
  • t(a)
    -1.55757
  • p(a)
    0.58623
  • Lowerbound of 95% confidence interval for beta
    0.27408
  • Upperbound of 95% confidence interval for beta
    0.47756
  • Lowerbound of 95% confidence interval for alpha
    -0.38110
  • Upperbound of 95% confidence interval for alpha
    0.04537
  • Treynor index (mean / b)
    -0.37634
  • Jensen alpha (a)
    -0.16787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.01196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.00957
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97106
  • Quartile 1
    0.99801
  • Median
    1.00013
  • Quartile 3
    1.00197
  • Maximum
    1.01427
  • Mean of quarter 1
    0.99273
  • Mean of quarter 2
    0.99929
  • Mean of quarter 3
    1.00108
  • Mean of quarter 4
    1.00527
  • Inter Quartile Range
    0.00396
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98701
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01034
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23688
  • VaR(95%) (moments method)
    0.00629
  • Expected Shortfall (moments method)
    0.01048
  • Extreme Value Index (regression method)
    0.44637
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.01170
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00108
  • Quartile 1
    0.00191
  • Median
    0.00418
  • Quartile 3
    0.03281
  • Maximum
    0.10716
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.00311
  • Mean of quarter 3
    0.03215
  • Mean of quarter 4
    0.07031
  • Inter Quartile Range
    0.03090
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.10716
  • 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)
    -0.11037
  • Compounded annual return (geometric extrapolation)
    -0.10732
  • Calmar ratio (compounded annual return / max draw down)
    -1.00148
  • Compounded annual return / average of 25% largest draw downs
    -1.52628
  • Compounded annual return / Expected Shortfall lognormal
    -8.97091

Strategy Description

We trade a quantified Long pullback strategy on all stocks of the Russel 3000 index. End of day.

We only go long.
Orders are given well before US market opens. (So, you have time enough to manually place orders)
@limitorders are used for the entry and @marketorders for the exit.
We trade 10% of then accountvalue for each stock we trade.

Good to know:
Historically, only 10/15 % of the limitorders are filled. The rest of them expires at the end of the day.
During volatile markets we sometimes can place a lot of orders ( 100)
We use dynamic stops for exiting and do not place stoploss orders in the market.
We only trade at the opening of the market and place our orders well before the opening of the US stock markets.
On some days there are no orders. Then we do nothing.

If you have any questions, please do not hesitate to contact us or visit our website
Best regards,
Team Dutch Volatrader.

Summary Statistics

Strategy began
2017-08-11
Suggested Minimum Capital
$15,000
# Trades
145
# Profitable
89
% Profitable
61.4%
Net Dividends
Correlation S&P500
0.367
Sharpe Ratio
0.04
Sortino Ratio
0.07
Beta
0.26
Alpha
-0.00
Leverage
0.40 Average
1.11 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.