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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/30/2014
Most recent certification approved 11/4/14 8:03 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 200%
# trading signals issued by system since certification 1,947
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,899
Percent signals followed since 10/30/2014 97.5%
This information was last updated 7/19/19 9:39 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/30/2014, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Carma Stocks
(81128026)

Created by: CarmaAdvisory CarmaAdvisory
Started: 05/2013
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 $50.00 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).
7.9%
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.

(13.3%)
Max Drawdown
1430
Num Trades
67.3%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.3%)+7.5%(0.8%)(1.5%)+1.4%+5.4%+3.6%+1.3%+17.5%
2014(0.4%)(1%)+2.0%+7.9%(0.3%)  -  (1.6%)+1.7%+0.8%+2.1%+1.0%+2.2%+15.0%
2015+2.7%+0.3%+1.5%+0.1%+1.6%+2.2%+4.0%(1%)+2.5%(1%)+0.5%+1.1%+15.3%
2016+0.4%+2.0%+0.8%+0.7%+1.0%(1%)+1.1%+0.3%+1.0%+0.6%+1.9%(1%)+8.1%
2017+2.0%+1.6%+1.0%+0.1%(3.6%)+0.7%  -  +0.6%+0.2%(0.3%)+0.4%+2.3%+5.0%
2018(1.8%)(4.3%)+1.3%+0.1%(0.1%)(2.3%)+0.9%+0.8%+1.4%(1.9%)+0.8%(0.2%)(5.4%)
2019+0.2%(0.3%)+3.3%+1.5%(7.6%)+2.7%(0.4%)+0.8%(1.2%)(1%)            (2.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 2,135 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/2/19 9:48 DAL DELTA AIR LINES LONG 62 54.15 10/16 9:30 53.75 0.59%
Trade id #125590911
Max drawdown($190)
Time10/10/19 0:00
Quant open62
Worst price51.07
Drawdown as % of equity-0.59%
($26)
Includes Typical Broker Commissions trade costs of $1.24
10/1/19 12:07 LKQ LKQ LONG 109 31.12 10/11 10:01 31.18 0.59%
Trade id #125573756
Max drawdown($190)
Time10/3/19 0:00
Quant open109
Worst price29.37
Drawdown as % of equity-0.59%
$5
Includes Typical Broker Commissions trade costs of $2.18
9/20/19 15:02 CTL CENTURYLINK LONG 264 12.53 10/10 9:30 11.42 1.03%
Trade id #125441065
Max drawdown($337)
Time10/8/19 0:00
Quant open264
Worst price11.25
Drawdown as % of equity-1.03%
($298)
Includes Typical Broker Commissions trade costs of $5.28
9/18/19 13:28 SYMC SYMANTEC LONG 138 24.00 10/8 9:30 23.32 0.42%
Trade id #125404161
Max drawdown($138)
Time10/2/19 0:00
Quant open138
Worst price23.00
Drawdown as % of equity-0.42%
($97)
Includes Typical Broker Commissions trade costs of $2.76
9/18/19 14:14 TGT TARGET LONG 31 106.18 10/4 13:40 108.91 0.21%
Trade id #125405213
Max drawdown($67)
Time10/2/19 0:00
Quant open31
Worst price104.01
Drawdown as % of equity-0.21%
$84
Includes Typical Broker Commissions trade costs of $0.62
9/24/19 10:41 MU MICRON TECHNOLOGY LONG 68 48.77 10/4 9:30 43.74 1.45%
Trade id #125479296
Max drawdown($477)
Time10/1/19 0:00
Quant open68
Worst price41.75
Drawdown as % of equity-1.45%
($343)
Includes Typical Broker Commissions trade costs of $1.36
9/24/19 12:23 ATVI ACTIVISION BLIZZARD LONG 62 53.67 10/3 11:07 54.34 0.65%
Trade id #125482997
Max drawdown($212)
Time10/2/19 0:00
Quant open62
Worst price50.25
Drawdown as % of equity-0.65%
$41
Includes Typical Broker Commissions trade costs of $1.24
10/2/19 12:47 ARNC ARCONIC INC LONG 141 23.99 10/3 9:30 24.17 0.11%
Trade id #125596889
Max drawdown($35)
Time10/3/19 0:00
Quant open141
Worst price23.74
Drawdown as % of equity-0.11%
$22
Includes Typical Broker Commissions trade costs of $2.82
9/20/19 9:37 STX SEAGATE TECHNOLOGY LONG 63 52.21 9/30 9:30 53.97 0.15%
Trade id #125434252
Max drawdown($51)
Time9/24/19 0:00
Quant open63
Worst price51.40
Drawdown as % of equity-0.15%
$110
Includes Typical Broker Commissions trade costs of $1.26
9/23/19 9:30 NWL NEWELL BRANDS INC LONG 187 17.58 9/26 10:59 18.27 0.01%
Trade id #125458287
Max drawdown($1)
Time9/23/19 9:31
Quant open187
Worst price17.57
Drawdown as % of equity-0.01%
$125
Includes Typical Broker Commissions trade costs of $3.74
9/24/19 10:22 WDC WESTERN DIGITAL LONG 55 60.59 9/25 11:08 61.97 0.2%
Trade id #125478528
Max drawdown($67)
Time9/24/19 14:11
Quant open55
Worst price59.37
Drawdown as % of equity-0.20%
$75
Includes Typical Broker Commissions trade costs of $1.10
9/24/19 12:42 LKQ LKQ LONG 106 31.38 9/25 9:30 31.61 0.06%
Trade id #125483768
Max drawdown($18)
Time9/25/19 0:00
Quant open106
Worst price31.20
Drawdown as % of equity-0.06%
$22
Includes Typical Broker Commissions trade costs of $2.12
9/10/19 9:30 MKTX MARKETAXESS HOLDINGS LONG 9 367.90 9/17 10:06 347.73 1.15%
Trade id #125288787
Max drawdown($378)
Time9/16/19 0:00
Quant open9
Worst price325.86
Drawdown as % of equity-1.15%
($182)
Includes Typical Broker Commissions trade costs of $0.18
9/10/19 10:03 MOS MOSAIC SHORT 78 21.19 9/13 9:30 22.02 0.27%
Trade id #125290019
Max drawdown($88)
Time9/12/19 0:00
Quant open78
Worst price22.33
Drawdown as % of equity-0.27%
($67)
Includes Typical Broker Commissions trade costs of $1.56
9/10/19 9:34 M MACY'S SHORT 98 16.99 9/13 9:30 17.25 0.25%
Trade id #125289039
Max drawdown($84)
Time9/11/19 0:00
Quant open98
Worst price17.85
Drawdown as % of equity-0.25%
($27)
Includes Typical Broker Commissions trade costs of $1.96
9/10/19 10:06 MAC MACERICH SHORT 50 33.34 9/12 10:53 32.61 0.12%
Trade id #125290088
Max drawdown($39)
Time9/11/19 0:00
Quant open50
Worst price34.13
Drawdown as % of equity-0.12%
$36
Includes Typical Broker Commissions trade costs of $1.00
8/27/19 9:30 TDG TRANSDIGM GROUP LONG 6 511.96 8/30 9:32 529.74 0.1%
Trade id #125100431
Max drawdown($34)
Time8/28/19 0:00
Quant open6
Worst price506.28
Drawdown as % of equity-0.10%
$107
Includes Typical Broker Commissions trade costs of $0.12
8/14/19 9:38 CF CF INDUSTRIES HOLDINGS LONG 69 47.81 8/30 9:30 48.65 0.36%
Trade id #124928038
Max drawdown($120)
Time8/28/19 0:00
Quant open69
Worst price46.06
Drawdown as % of equity-0.36%
$57
Includes Typical Broker Commissions trade costs of $1.38
8/5/19 9:31 CDNS CADENCE DESIGN SYSTEMS LONG 48 67.70 8/27 9:30 68.25 0.17%
Trade id #124773840
Max drawdown($55)
Time8/23/19 0:00
Quant open48
Worst price66.55
Drawdown as % of equity-0.17%
$25
Includes Typical Broker Commissions trade costs of $0.96
8/5/19 15:03 FITB FIFTH THIRD BANCORP LONG 121 26.79 8/23 9:30 25.59 0.64%
Trade id #124774724
Max drawdown($208)
Time8/15/19 0:00
Quant open121
Worst price25.07
Drawdown as % of equity-0.64%
($147)
Includes Typical Broker Commissions trade costs of $2.42
8/14/19 12:54 ULTA ULTA BEAUTY INC LONG 10 324.14 8/22 9:37 333.42 0.27%
Trade id #124934100
Max drawdown($86)
Time8/15/19 0:00
Quant open10
Worst price315.49
Drawdown as % of equity-0.27%
$93
Includes Typical Broker Commissions trade costs of $0.20
8/1/19 13:34 UAA UNDER ARMOUR LONG 150 22.04 8/22 9:30 18.82 1.69%
Trade id #124723137
Max drawdown($564)
Time8/20/19 0:00
Quant open150
Worst price18.28
Drawdown as % of equity-1.69%
($486)
Includes Typical Broker Commissions trade costs of $3.00
8/5/19 13:58 GPN GLOBAL PAYMENTS LONG 21 153.40 8/20 13:08 161.21 0.16%
Trade id #124773164
Max drawdown($51)
Time8/5/19 15:07
Quant open21
Worst price150.94
Drawdown as % of equity-0.16%
$164
Includes Typical Broker Commissions trade costs of $0.42
8/5/19 14:59 KEY KEYCORP LONG 199 16.34 8/20 9:30 16.39 0.3%
Trade id #124774645
Max drawdown($100)
Time8/14/19 0:00
Quant open199
Worst price15.84
Drawdown as % of equity-0.30%
$6
Includes Typical Broker Commissions trade costs of $3.98
8/5/19 13:59 TSS TOTAL SYSTEM SERVICES LONG 26 123.74 8/20 9:30 128.50 0.15%
Trade id #124773181
Max drawdown($46)
Time8/5/19 15:07
Quant open26
Worst price121.94
Drawdown as % of equity-0.15%
$123
Includes Typical Broker Commissions trade costs of $0.52
8/5/19 15:06 BBT BB&T LONG 69 46.88 8/20 9:30 46.55 0.39%
Trade id #124774782
Max drawdown($131)
Time8/14/19 0:00
Quant open69
Worst price44.98
Drawdown as % of equity-0.39%
($24)
Includes Typical Broker Commissions trade costs of $1.38
8/5/19 15:02 STI SUNTRUST BANKS LONG 54 60.36 8/20 9:30 60.91 0.28%
Trade id #124774712
Max drawdown($94)
Time8/14/19 0:00
Quant open54
Worst price58.61
Drawdown as % of equity-0.28%
$29
Includes Typical Broker Commissions trade costs of $1.08
8/14/19 13:00 GM GENERAL MOTORS LONG 90 37.05 8/19 9:30 37.51 0.25%
Trade id #124934239
Max drawdown($81)
Time8/15/19 0:00
Quant open90
Worst price36.15
Drawdown as % of equity-0.25%
$39
Includes Typical Broker Commissions trade costs of $1.80
8/5/19 14:17 CMI CUMMINS LONG 21 150.74 8/13 10:27 154.09 0.23%
Trade id #124773655
Max drawdown($74)
Time8/5/19 14:17
Quant open21
Worst price147.20
Drawdown as % of equity-0.23%
$70
Includes Typical Broker Commissions trade costs of $0.42
8/1/19 14:12 AMAT APPLIED MATERIALS LONG 67 48.68 8/9 9:30 47.54 0.75%
Trade id #124724755
Max drawdown($248)
Time8/1/19 14:12
Quant open67
Worst price44.97
Drawdown as % of equity-0.75%
($77)
Includes Typical Broker Commissions trade costs of $1.34

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2334.41
  • Age
    78 months ago
  • What it trades
    Stocks
  • # Trades
    1430
  • # Profitable
    963
  • % Profitable
    67.30%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    13.3%
  • drawdown period
    Dec 18, 2017 - Oct 31, 2018
  • Annual Return (Compounded)
    8.0%
  • Avg win
    $52.36
  • Avg loss
    $67.57
  • Model Account Values (Raw)
  • Cash
    $39,621
  • Margin Used
    $0
  • Buying Power
    $39,621
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.08
  • Calmar Ratio
    1.751
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.65%
  • Correlation to SP500
    0.33300
  • Return Percent SP500 (cumu) during strategy life
    79.89%
  • Return Statistics
  • Ann Return (w trading costs)
    8.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.08%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.29%
  • Return Statistics
  • Return Pcnt Since TOS Status
    37.590%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.080%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    369
  • Popularity (Last 6 weeks)
    853
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    146
  • Popularity (7 days, Percentile 1000 scale)
    509
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    200%
  • Win / Loss
  • Avg Loss
    $68
  • Avg Win
    $52
  • Sum Trade PL (losers)
    $31,553.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months (Age strategy)
    78
  • Win / Loss
  • Sum Trade PL (winners)
    $50,418.000
  • # Winners
    963
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    757
  • AUM
  • AUM (AutoTrader live capital)
    109637
  • Win / Loss
  • # Losers
    467
  • % Winners
    67.3%
  • Frequency
  • Avg Position Time (mins)
    7740.93
  • Avg Position Time (hrs)
    129.02
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.35
  • Daily leverage (max)
    2.28
  • Regression
  • Alpha
    0.01
  • Beta
    0.18
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.344
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.866
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.322
  • Hold-and-Hope Ratio
    0.157
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08177
  • SD
    0.06323
  • Sharpe ratio (Glass type estimate)
    1.29307
  • Sharpe ratio (Hedges UMVUE)
    1.28009
  • df
    75.00000
  • t
    3.25415
  • p
    0.00085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08539
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13196
  • Upside Potential Ratio
    4.54812
  • Upside part of mean
    0.11874
  • Downside part of mean
    -0.03697
  • Upside SD
    0.06182
  • Downside SD
    0.02611
  • N nonnegative terms
    51.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.06562
  • Mean of criterion
    0.08177
  • SD of predictor
    0.10614
  • SD of criterion
    0.06323
  • Covariance
    0.00030
  • r
    0.04445
  • b (slope, estimate of beta)
    0.02648
  • a (intercept, estimate of alpha)
    0.08003
  • Mean Square Error
    0.00404
  • DF error
    74.00000
  • t(b)
    0.38275
  • p(b)
    0.35150
  • t(a)
    3.11691
  • p(a)
    0.00130
  • Lowerbound of 95% confidence interval for beta
    -0.11138
  • Upperbound of 95% confidence interval for beta
    0.16434
  • Lowerbound of 95% confidence interval for alpha
    0.02887
  • Upperbound of 95% confidence interval for alpha
    0.13119
  • Treynor index (mean / b)
    3.08779
  • Jensen alpha (a)
    0.08003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07939
  • SD
    0.06201
  • Sharpe ratio (Glass type estimate)
    1.28030
  • Sharpe ratio (Hedges UMVUE)
    1.26745
  • df
    75.00000
  • t
    3.22202
  • p
    0.00094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07224
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01007
  • Upside Potential Ratio
    4.42167
  • Upside part of mean
    0.11662
  • Downside part of mean
    -0.03723
  • Upside SD
    0.06020
  • Downside SD
    0.02637
  • N nonnegative terms
    51.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.05980
  • Mean of criterion
    0.07939
  • SD of predictor
    0.10565
  • SD of criterion
    0.06201
  • Covariance
    0.00030
  • r
    0.04594
  • b (slope, estimate of beta)
    0.02696
  • a (intercept, estimate of alpha)
    0.07778
  • Mean Square Error
    0.00389
  • DF error
    74.00000
  • t(b)
    0.39561
  • p(b)
    0.34676
  • t(a)
    3.09717
  • p(a)
    0.00138
  • Lowerbound of 95% confidence interval for beta
    -0.10884
  • Upperbound of 95% confidence interval for beta
    0.16277
  • Lowerbound of 95% confidence interval for alpha
    0.02774
  • Upperbound of 95% confidence interval for alpha
    0.12782
  • Treynor index (mean / b)
    2.94428
  • Jensen alpha (a)
    0.07778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02257
  • Expected Shortfall on VaR
    0.02983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.01174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.96503
  • Quartile 1
    1.00015
  • Median
    1.00609
  • Quartile 3
    1.01502
  • Maximum
    1.07830
  • Mean of quarter 1
    0.99032
  • Mean of quarter 2
    1.00354
  • Mean of quarter 3
    1.01070
  • Mean of quarter 4
    1.03201
  • Inter Quartile Range
    0.01488
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.97077
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.06579
  • Mean of outliers high
    1.05745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40581
  • VaR(95%) (moments method)
    0.00399
  • Expected Shortfall (moments method)
    0.00511
  • Extreme Value Index (regression method)
    0.24426
  • VaR(95%) (regression method)
    0.00833
  • Expected Shortfall (regression method)
    0.01621
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00436
  • Median
    0.00800
  • Quartile 3
    0.02830
  • Maximum
    0.04352
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00555
  • Mean of quarter 3
    0.01767
  • Mean of quarter 4
    0.03924
  • Inter Quartile Range
    0.02394
  • 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)
    0.15363
  • Compounded annual return (geometric extrapolation)
    0.11326
  • Calmar ratio (compounded annual return / max draw down)
    2.60250
  • Compounded annual return / average of 25% largest draw downs
    2.88609
  • Compounded annual return / Expected Shortfall lognormal
    3.79682
  • 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
    0.08153
  • SD
    0.06283
  • Sharpe ratio (Glass type estimate)
    1.29751
  • Sharpe ratio (Hedges UMVUE)
    1.29693
  • df
    1666.00000
  • t
    3.27287
  • p
    0.46004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07519
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01824
  • Upside Potential Ratio
    7.81305
  • Upside part of mean
    0.31561
  • Downside part of mean
    -0.23408
  • Upside SD
    0.04837
  • Downside SD
    0.04039
  • N nonnegative terms
    813.00000
  • N negative terms
    854.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1667.00000
  • Mean of predictor
    0.07300
  • Mean of criterion
    0.08153
  • SD of predictor
    0.13114
  • SD of criterion
    0.06283
  • Covariance
    0.00277
  • r
    0.33666
  • b (slope, estimate of beta)
    0.16130
  • a (intercept, estimate of alpha)
    0.07000
  • Mean Square Error
    0.00350
  • DF error
    1665.00000
  • t(b)
    14.58860
  • p(b)
    0.28980
  • t(a)
    2.97110
  • p(a)
    0.45381
  • Lowerbound of 95% confidence interval for beta
    0.13961
  • Upperbound of 95% confidence interval for beta
    0.18299
  • Lowerbound of 95% confidence interval for alpha
    0.02370
  • Upperbound of 95% confidence interval for alpha
    0.11580
  • Treynor index (mean / b)
    0.50544
  • Jensen alpha (a)
    0.06975
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07954
  • SD
    0.06276
  • Sharpe ratio (Glass type estimate)
    1.26728
  • Sharpe ratio (Hedges UMVUE)
    1.26671
  • df
    1666.00000
  • t
    3.19661
  • p
    0.46096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04492
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95748
  • Upside Potential Ratio
    7.73811
  • Upside part of mean
    0.31441
  • Downside part of mean
    -0.23488
  • Upside SD
    0.04806
  • Downside SD
    0.04063
  • N nonnegative terms
    813.00000
  • N negative terms
    854.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1667.00000
  • Mean of predictor
    0.06437
  • Mean of criterion
    0.07954
  • SD of predictor
    0.13135
  • SD of criterion
    0.06276
  • Covariance
    0.00278
  • r
    0.33766
  • b (slope, estimate of beta)
    0.16134
  • a (intercept, estimate of alpha)
    0.06915
  • Mean Square Error
    0.00349
  • DF error
    1665.00000
  • t(b)
    14.63780
  • p(b)
    0.28920
  • t(a)
    2.95036
  • p(a)
    0.45413
  • Lowerbound of 95% confidence interval for beta
    0.13972
  • Upperbound of 95% confidence interval for beta
    0.18296
  • Lowerbound of 95% confidence interval for alpha
    0.02318
  • Upperbound of 95% confidence interval for alpha
    0.11512
  • Treynor index (mean / b)
    0.49296
  • Jensen alpha (a)
    0.06915
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.00766
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00204
  • Expected Shortfall on VaR
    0.00445
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1667.00000
  • Minimum
    0.97840
  • Quartile 1
    0.99958
  • Median
    1.00005
  • Quartile 3
    1.00121
  • Maximum
    1.02743
  • Mean of quarter 1
    0.99670
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00054
  • Mean of quarter 4
    1.00449
  • Inter Quartile Range
    0.00162
  • Number outliers low
    157.00000
  • Percentage of outliers low
    0.09418
  • Mean of outliers low
    0.99338
  • Number of outliers high
    175.00000
  • Percentage of outliers high
    0.10498
  • Mean of outliers high
    1.00773
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46377
  • VaR(95%) (moments method)
    0.00304
  • Expected Shortfall (moments method)
    0.00694
  • Extreme Value Index (regression method)
    0.16416
  • VaR(95%) (regression method)
    0.00327
  • Expected Shortfall (regression method)
    0.00560
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    117.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00075
  • Median
    0.00243
  • Quartile 3
    0.00830
  • Maximum
    0.06479
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00137
  • Mean of quarter 3
    0.00491
  • Mean of quarter 4
    0.02113
  • Inter Quartile Range
    0.00756
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.08547
  • Mean of outliers high
    0.03680
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29895
  • VaR(95%) (moments method)
    0.02133
  • Expected Shortfall (moments method)
    0.03594
  • Extreme Value Index (regression method)
    0.27014
  • VaR(95%) (regression method)
    0.02014
  • Expected Shortfall (regression method)
    0.03245
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15419
  • Compounded annual return (geometric extrapolation)
    0.11343
  • Calmar ratio (compounded annual return / max draw down)
    1.75072
  • Compounded annual return / average of 25% largest draw downs
    5.36730
  • Compounded annual return / Expected Shortfall lognormal
    14.80040
  • 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
    -0.09893
  • SD
    0.09019
  • Sharpe ratio (Glass type estimate)
    -1.09691
  • Sharpe ratio (Hedges UMVUE)
    -1.09057
  • df
    130.00000
  • t
    -0.77563
  • p
    0.53394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.86555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68440
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.47462
  • Upside Potential Ratio
    5.81218
  • Upside part of mean
    0.38993
  • Downside part of mean
    -0.48886
  • Upside SD
    0.06007
  • Downside SD
    0.06709
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03715
  • Mean of criterion
    -0.09893
  • SD of predictor
    0.14119
  • SD of criterion
    0.09019
  • Covariance
    0.00956
  • r
    0.75088
  • b (slope, estimate of beta)
    0.47965
  • a (intercept, estimate of alpha)
    -0.11675
  • Mean Square Error
    0.00358
  • DF error
    129.00000
  • t(b)
    12.91310
  • p(b)
    0.07178
  • t(a)
    -1.38042
  • p(a)
    0.57662
  • Lowerbound of 95% confidence interval for beta
    0.40616
  • Upperbound of 95% confidence interval for beta
    0.55314
  • Lowerbound of 95% confidence interval for alpha
    -0.28408
  • Upperbound of 95% confidence interval for alpha
    0.05058
  • Treynor index (mean / b)
    -0.20626
  • Jensen alpha (a)
    -0.11675
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10297
  • SD
    0.09017
  • Sharpe ratio (Glass type estimate)
    -1.14197
  • Sharpe ratio (Hedges UMVUE)
    -1.13537
  • df
    130.00000
  • t
    -0.80749
  • p
    0.53532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91507
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63987
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.52490
  • Upside Potential Ratio
    5.74729
  • Upside part of mean
    0.38811
  • Downside part of mean
    -0.49108
  • Upside SD
    0.05958
  • Downside SD
    0.06753
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02721
  • Mean of criterion
    -0.10297
  • SD of predictor
    0.14166
  • SD of criterion
    0.09017
  • Covariance
    0.00961
  • r
    0.75194
  • b (slope, estimate of beta)
    0.47863
  • a (intercept, estimate of alpha)
    -0.11600
  • Mean Square Error
    0.00356
  • DF error
    129.00000
  • t(b)
    12.95490
  • p(b)
    0.07133
  • t(a)
    -1.37438
  • p(a)
    0.57629
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.40553
  • Upperbound of 95% confidence interval for beta
    0.55172
  • Lowerbound of 95% confidence interval for alpha
    -0.28298
  • Upperbound of 95% confidence interval for alpha
    0.05099
  • Treynor index (mean / b)
    -0.21515
  • Jensen alpha (a)
    -0.11600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00951
  • Expected Shortfall on VaR
    0.01181
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00461
  • Expected Shortfall on VaR
    0.00922
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97862
  • Quartile 1
    0.99846
  • Median
    1.00000
  • Quartile 3
    1.00160
  • Maximum
    1.02743
  • Mean of quarter 1
    0.99332
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00556
  • Inter Quartile Range
    0.00313
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98851
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01039
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30354
  • VaR(95%) (moments method)
    0.00491
  • Expected Shortfall (moments method)
    0.00615
  • Extreme Value Index (regression method)
    0.03273
  • VaR(95%) (regression method)
    0.00663
  • Expected Shortfall (regression method)
    0.00994
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00143
  • Median
    0.00197
  • Quartile 3
    0.03338
  • Maximum
    0.06479
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00197
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06479
  • Inter Quartile Range
    0.03195
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -8
  • Max Equity Drawdown (num days)
    317
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07368
  • Compounded annual return (geometric extrapolation)
    -0.07232
  • Calmar ratio (compounded annual return / max draw down)
    -1.11623
  • Compounded annual return / average of 25% largest draw downs
    -1.11623
  • Compounded annual return / Expected Shortfall lognormal
    -6.12265

Strategy Description

Carma Stocks is a mean reversion swing trading system that looks for oversold and overbought stocks. The system trades only highly liquid stocks in both sides, long and short.

Single position size can be 5% or 10% of total system equity (it depends on the strength of the signal that generated the trade). Max leverage is 1.
Once a new position is entered the exit price is established.

Every day, before market open, the system generates new entry signals and updates, if necessary, the exit price of existing positions. Before market close Carma Stocks updates exit price for open positions if necessary.

Backtesting results available for subscribers.

Summary Statistics

Strategy began
2013-05-28
Suggested Minimum Capital
$35,000
# Trades
1430
# Profitable
963
% Profitable
67.3%
Net Dividends
Correlation S&P500
0.333
Sharpe Ratio
0.71
Sortino Ratio
1.08
Beta
0.18
Alpha
0.01
Leverage
0.35 Average
2.28 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.