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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 1,920
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,870
Percent signals followed since 10/30/2014 97.4%
This information was last updated 5/22/19 9:30 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.

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).
8.6%
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
1382
Num Trades
67.4%
Win Trades
1.7 : 1
Profit Factor
68.5%
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%(6.6%)                                          (2.1%)

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 2,033 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/19 9:30 XLNX XILINX LONG 31 104.46 5/21 10:48 105.08 0.53%
Trade id #123708631
Max drawdown($210)
Time5/20/19 10:05
Quant open31
Worst price97.68
Drawdown as % of equity-0.53%
$18
Includes Typical Broker Commissions trade costs of $0.62
5/20/19 9:30 ADI ANALOG DEVICES LONG 32 97.88 5/21 9:30 101.42 0.09%
Trade id #123736123
Max drawdown($37)
Time5/20/19 15:16
Quant open32
Worst price96.72
Drawdown as % of equity-0.09%
$112
Includes Typical Broker Commissions trade costs of $0.64
5/10/19 9:30 WYNN WYNN RESORTS LONG 25 129.34 5/17 9:30 125.39 0.54%
Trade id #123615612
Max drawdown($214)
Time5/13/19 11:34
Quant open25
Worst price120.77
Drawdown as % of equity-0.54%
($100)
Includes Typical Broker Commissions trade costs of $0.50
5/2/19 10:24 GRMN GARMIN LONG 43 78.91 5/17 9:30 78.90 0.3%
Trade id #123505398
Max drawdown($119)
Time5/15/19 8:58
Quant open43
Worst price76.12
Drawdown as % of equity-0.30%
($1)
Includes Typical Broker Commissions trade costs of $0.86
5/2/19 9:30 AMAT APPLIED MATERIALS LONG 79 43.18 5/17 9:30 43.31 0.88%
Trade id #123503688
Max drawdown($356)
Time5/13/19 10:03
Quant open79
Worst price38.67
Drawdown as % of equity-0.88%
$8
Includes Typical Broker Commissions trade costs of $1.58
4/26/19 9:30 XLNX XILINX LONG 30 115.25 5/16 9:30 110.01 0.42%
Trade id #123440214
Max drawdown($164)
Time5/13/19 13:34
Quant open30
Worst price109.78
Drawdown as % of equity-0.42%
($158)
Includes Typical Broker Commissions trade costs of $0.60
5/1/19 15:33 INTC INTEL LONG 68 50.86 5/16 9:30 45.58 1.08%
Trade id #123497054
Max drawdown($422)
Time5/13/19 18:02
Quant open68
Worst price44.64
Drawdown as % of equity-1.08%
($360)
Includes Typical Broker Commissions trade costs of $1.36
5/1/19 14:40 CAG CONAGRA BRANDS INC LONG 115 30.23 5/15 9:30 28.34 0.7%
Trade id #123496114
Max drawdown($274)
Time5/13/19 14:17
Quant open115
Worst price27.84
Drawdown as % of equity-0.70%
($219)
Includes Typical Broker Commissions trade costs of $2.30
4/25/19 9:59 NTAP NETAPP LONG 47 73.05 5/15 9:30 66.47 0.86%
Trade id #123426829
Max drawdown($336)
Time5/13/19 15:39
Quant open47
Worst price65.89
Drawdown as % of equity-0.86%
($310)
Includes Typical Broker Commissions trade costs of $0.94
4/26/19 9:32 HP HELMERICH & PAYNE LONG 57 60.45 5/9 14:18 58.34 0.69%
Trade id #123440457
Max drawdown($284)
Time5/2/19 9:34
Quant open57
Worst price55.45
Drawdown as % of equity-0.69%
($121)
Includes Typical Broker Commissions trade costs of $1.14
4/25/19 9:31 CPB CAMPBELL SOUP LONG 90 38.75 5/8 15:03 38.68 0.25%
Trade id #123425631
Max drawdown($104)
Time5/2/19 12:19
Quant open90
Worst price37.59
Drawdown as % of equity-0.25%
($8)
Includes Typical Broker Commissions trade costs of $1.80
4/26/19 9:30 PXD PIONEER NATURAL RESOURCES LONG 20 166.50 5/8 11:08 153.89 1.16%
Trade id #123440260
Max drawdown($469)
Time5/7/19 13:08
Quant open20
Worst price143.04
Drawdown as % of equity-1.16%
($252)
Includes Typical Broker Commissions trade costs of $0.40
4/29/19 9:50 DHI DR HORTON LONG 80 43.63 5/3 9:32 44.79 0.01%
Trade id #123462642
Max drawdown($4)
Time4/29/19 9:52
Quant open80
Worst price43.57
Drawdown as % of equity-0.01%
$91
Includes Typical Broker Commissions trade costs of $1.60
4/29/19 9:46 SPY SPDR S&P 500 LONG 200 294.00 4/29 9:50 293.74 0.13%
Trade id #123462532
Max drawdown($53)
Time4/29/19 9:50
Quant open0
Worst price293.74
Drawdown as % of equity-0.13%
($57)
Includes Typical Broker Commissions trade costs of $4.00
4/24/19 9:39 DISH DISH NETWORK LONG 104 33.47 4/29 9:30 34.84 0.02%
Trade id #123411977
Max drawdown($6)
Time4/24/19 9:41
Quant open104
Worst price33.41
Drawdown as % of equity-0.02%
$140
Includes Typical Broker Commissions trade costs of $2.08
4/12/19 10:24 BBY BEST BUY LONG 47 73.59 4/24 9:31 75.49 0.16%
Trade id #123295680
Max drawdown($64)
Time4/23/19 9:54
Quant open47
Worst price72.21
Drawdown as % of equity-0.16%
$88
Includes Typical Broker Commissions trade costs of $0.94
4/17/19 14:07 ABT ABBOTT LABORATORIES LONG 47 72.56 4/24 9:30 75.96 0.02%
Trade id #123347511
Max drawdown($9)
Time4/17/19 14:12
Quant open47
Worst price72.36
Drawdown as % of equity-0.02%
$159
Includes Typical Broker Commissions trade costs of $0.94
4/16/19 11:58 INCY INCYTE LONG 44 77.62 4/24 9:30 75.03 0.56%
Trade id #123329768
Max drawdown($231)
Time4/22/19 9:43
Quant open44
Worst price72.36
Drawdown as % of equity-0.56%
($115)
Includes Typical Broker Commissions trade costs of $0.88
4/15/19 10:04 WCG WELLCARE HEALTH PLANS LONG 13 267.25 4/24 9:30 257.00 0.75%
Trade id #123313858
Max drawdown($310)
Time4/18/19 10:01
Quant open13
Worst price243.39
Drawdown as % of equity-0.75%
($133)
Includes Typical Broker Commissions trade costs of $0.26
4/11/19 10:11 IDXX IDEXX LABORATORIES LONG 15 222.83 4/16 9:39 227.16 0.05%
Trade id #123281593
Max drawdown($19)
Time4/11/19 10:22
Quant open15
Worst price221.50
Drawdown as % of equity-0.05%
$65
Includes Typical Broker Commissions trade costs of $0.30
4/12/19 10:29 ANTM ANTHEM INC LONG 13 262.47 4/15 13:45 262.97 0.42%
Trade id #123295837
Max drawdown($173)
Time4/12/19 15:27
Quant open13
Worst price249.15
Drawdown as % of equity-0.42%
$7
Includes Typical Broker Commissions trade costs of $0.26
4/8/19 9:30 COO COOPER LONG 12 288.23 4/12 9:38 293.13 0.11%
Trade id #123237403
Max drawdown($43)
Time4/8/19 9:48
Quant open12
Worst price284.58
Drawdown as % of equity-0.11%
$59
Includes Typical Broker Commissions trade costs of $0.24
4/8/19 9:30 ANET ARISTA NETWORKS INC LONG 11 310.21 4/10 12:34 322.64 0.08%
Trade id #123237389
Max drawdown($34)
Time4/8/19 9:44
Quant open11
Worst price307.09
Drawdown as % of equity-0.08%
$137
Includes Typical Broker Commissions trade costs of $0.22
3/27/19 12:47 ADI ANALOG DEVICES LONG 33 104.00 4/2 9:30 108.13 0.06%
Trade id #123101125
Max drawdown($23)
Time3/28/19 12:17
Quant open33
Worst price103.30
Drawdown as % of equity-0.06%
$135
Includes Typical Broker Commissions trade costs of $0.66
3/22/19 9:53 SYF SYNCHRONY FINANCIAL LONG 107 32.22 4/1 9:33 32.25 0.29%
Trade id #123030022
Max drawdown($117)
Time3/25/19 14:28
Quant open107
Worst price31.12
Drawdown as % of equity-0.29%
$1
Includes Typical Broker Commissions trade costs of $2.14
3/8/19 9:30 MNST MONSTER BEVERAGE LONG 54 61.22 3/27 9:30 55.43 1.09%
Trade id #122833863
Max drawdown($447)
Time3/22/19 10:26
Quant open54
Worst price52.94
Drawdown as % of equity-1.09%
($314)
Includes Typical Broker Commissions trade costs of $1.08
3/8/19 9:30 BA BOEING LONG 7 416.44 3/21 9:30 375.00 0.9%
Trade id #122833815
Max drawdown($371)
Time3/13/19 14:51
Quant open7
Worst price363.33
Drawdown as % of equity-0.90%
($290)
Includes Typical Broker Commissions trade costs of $0.14
3/8/19 9:30 EBAY EBAY LONG 92 36.02 3/19 9:30 36.68 0.12%
Trade id #122833827
Max drawdown($46)
Time3/8/19 10:07
Quant open92
Worst price35.51
Drawdown as % of equity-0.12%
$59
Includes Typical Broker Commissions trade costs of $1.84
3/8/19 9:30 HPE HEWLETT PACKARD ENTERPRISE CO LONG 212 15.52 3/18 9:30 16.00 0.2%
Trade id #122833905
Max drawdown($82)
Time3/12/19 10:25
Quant open212
Worst price15.13
Drawdown as % of equity-0.20%
$98
Includes Typical Broker Commissions trade costs of $4.24
2/22/19 14:45 MCHP MICROCHIP TECHNOLOGY LONG 37 88.47 3/15 9:30 84.69 0.51%
Trade id #122649836
Max drawdown($200)
Time3/8/19 9:32
Quant open37
Worst price83.05
Drawdown as % of equity-0.51%
($141)
Includes Typical Broker Commissions trade costs of $0.74

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2186.28
  • Age
    73 months ago
  • What it trades
    Stocks
  • # Trades
    1382
  • # Profitable
    932
  • % Profitable
    67.40%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    13.3%
  • drawdown period
    Dec 18, 2017 - Oct 31, 2018
  • Annual Return (Compounded)
    8.6%
  • Avg win
    $50.96
  • Avg loss
    $64.02
  • Model Account Values (Raw)
  • Cash
    $36,657
  • Margin Used
    $0
  • Buying Power
    $36,219
  • Ratios
  • W:L ratio
    1.70:1
  • Sharpe Ratio
    0.81
  • Sortino Ratio
    1.23
  • Calmar Ratio
    1.963
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28910
  • Return Statistics
  • Ann Return (w trading costs)
    8.6%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    755
  • Popularity (Last 6 weeks)
    954
  • C2 Score
    97.7
  • Trades-Own-System Certification
  • Trades Own System?
    469
  • TOS percent
    200%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $64
  • Avg Win
    $51
  • # Winners
    932
  • # Losers
    450
  • % Winners
    67.4%
  • Frequency
  • Avg Position Time (mins)
    7525.00
  • Avg Position Time (hrs)
    125.42
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.36
  • Daily leverage (max)
    2.28
  • Unknown
  • Alpha
    0.01
  • Beta
    0.15
  • Treynor Index
    0.12
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09474
  • SD
    0.06240
  • Sharpe ratio (Glass type estimate)
    1.51824
  • Sharpe ratio (Hedges UMVUE)
    1.50192
  • df
    70.00000
  • t
    3.69301
  • p
    0.00022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34522
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.16557
  • Upside Potential Ratio
    5.47938
  • Upside part of mean
    0.12462
  • Downside part of mean
    -0.02988
  • Upside SD
    0.06379
  • Downside SD
    0.02274
  • N nonnegative terms
    49.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.07120
  • Mean of criterion
    0.09474
  • SD of predictor
    0.10765
  • SD of criterion
    0.06240
  • Covariance
    0.00006
  • r
    0.00956
  • b (slope, estimate of beta)
    0.00554
  • a (intercept, estimate of alpha)
    0.09434
  • Mean Square Error
    0.00395
  • DF error
    69.00000
  • t(b)
    0.07941
  • p(b)
    0.46847
  • t(a)
    3.58575
  • p(a)
    0.00031
  • Lowerbound of 95% confidence interval for beta
    -0.13366
  • Upperbound of 95% confidence interval for beta
    0.14474
  • Lowerbound of 95% confidence interval for alpha
    0.04185
  • Upperbound of 95% confidence interval for alpha
    0.14683
  • Treynor index (mean / b)
    17.09730
  • Jensen alpha (a)
    0.09434
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09229
  • SD
    0.06107
  • Sharpe ratio (Glass type estimate)
    1.51133
  • Sharpe ratio (Hedges UMVUE)
    1.49508
  • df
    70.00000
  • t
    3.67619
  • p
    0.00023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33805
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.01579
  • Upside Potential Ratio
    5.32424
  • Upside part of mean
    0.12237
  • Downside part of mean
    -0.03007
  • Upside SD
    0.06212
  • Downside SD
    0.02298
  • N nonnegative terms
    49.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.06517
  • Mean of criterion
    0.09229
  • SD of predictor
    0.10716
  • SD of criterion
    0.06107
  • Covariance
    0.00007
  • r
    0.01090
  • b (slope, estimate of beta)
    0.00621
  • a (intercept, estimate of alpha)
    0.09189
  • Mean Square Error
    0.00378
  • DF error
    69.00000
  • t(b)
    0.09055
  • p(b)
    0.46406
  • t(a)
    3.57853
  • p(a)
    0.00032
  • Lowerbound of 95% confidence interval for beta
    -0.13064
  • Upperbound of 95% confidence interval for beta
    0.14307
  • Lowerbound of 95% confidence interval for alpha
    0.04066
  • Upperbound of 95% confidence interval for alpha
    0.14312
  • Treynor index (mean / b)
    14.85780
  • Jensen alpha (a)
    0.09189
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02108
  • Expected Shortfall on VaR
    0.02824
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00397
  • Expected Shortfall on VaR
    0.00929
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.96503
  • Quartile 1
    1.00097
  • Median
    1.00614
  • Quartile 3
    1.01730
  • Maximum
    1.07830
  • Mean of quarter 1
    0.99264
  • Mean of quarter 2
    1.00402
  • Mean of quarter 3
    1.01140
  • Mean of quarter 4
    1.03290
  • Inter Quartile Range
    0.01633
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01408
  • Mean of outliers low
    0.96503
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.06184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14487
  • VaR(95%) (moments method)
    0.00347
  • Expected Shortfall (moments method)
    0.00502
  • Extreme Value Index (regression method)
    0.64477
  • VaR(95%) (regression method)
    0.00743
  • Expected Shortfall (regression method)
    0.02770
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00436
  • Median
    0.00800
  • Quartile 3
    0.01609
  • Maximum
    0.03497
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00555
  • Mean of quarter 3
    0.01101
  • Mean of quarter 4
    0.03052
  • Inter Quartile Range
    0.01173
  • 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
    0.12500
  • Mean of outliers high
    0.03497
  • 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)
    0.17517
  • Compounded annual return (geometric extrapolation)
    0.12772
  • Calmar ratio (compounded annual return / max draw down)
    3.65256
  • Compounded annual return / average of 25% largest draw downs
    4.18483
  • Compounded annual return / Expected Shortfall lognormal
    4.52213
  • 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
    0.08777
  • SD
    0.06099
  • Sharpe ratio (Glass type estimate)
    1.43904
  • Sharpe ratio (Hedges UMVUE)
    1.43835
  • df
    1560.00000
  • t
    3.51255
  • p
    0.45571
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63428
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24290
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24757
  • Upside Potential Ratio
    7.94862
  • Upside part of mean
    0.31040
  • Downside part of mean
    -0.22263
  • Upside SD
    0.04714
  • Downside SD
    0.03905
  • N nonnegative terms
    767.00000
  • N negative terms
    794.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1561.00000
  • Mean of predictor
    0.06968
  • Mean of criterion
    0.08777
  • SD of predictor
    0.13033
  • SD of criterion
    0.06099
  • Covariance
    0.00235
  • r
    0.29608
  • b (slope, estimate of beta)
    0.13857
  • a (intercept, estimate of alpha)
    0.07800
  • Mean Square Error
    0.00340
  • DF error
    1559.00000
  • t(b)
    12.23950
  • p(b)
    0.31430
  • t(a)
    3.27007
  • p(a)
    0.44751
  • Lowerbound of 95% confidence interval for beta
    0.11636
  • Upperbound of 95% confidence interval for beta
    0.16077
  • Lowerbound of 95% confidence interval for alpha
    0.03126
  • Upperbound of 95% confidence interval for alpha
    0.12497
  • Treynor index (mean / b)
    0.63342
  • Jensen alpha (a)
    0.07812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08589
  • SD
    0.06093
  • Sharpe ratio (Glass type estimate)
    1.40960
  • Sharpe ratio (Hedges UMVUE)
    1.40892
  • df
    1560.00000
  • t
    3.44070
  • p
    0.45661
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21341
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18652
  • Upside Potential Ratio
    7.87304
  • Upside part of mean
    0.30927
  • Downside part of mean
    -0.22338
  • Upside SD
    0.04686
  • Downside SD
    0.03928
  • N nonnegative terms
    767.00000
  • N negative terms
    794.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1561.00000
  • Mean of predictor
    0.06116
  • Mean of criterion
    0.08589
  • SD of predictor
    0.13052
  • SD of criterion
    0.06093
  • Covariance
    0.00236
  • r
    0.29704
  • b (slope, estimate of beta)
    0.13868
  • a (intercept, estimate of alpha)
    0.07741
  • Mean Square Error
    0.00339
  • DF error
    1559.00000
  • t(b)
    12.28280
  • p(b)
    0.31372
  • t(a)
    3.24510
  • p(a)
    0.44791
  • Lowerbound of 95% confidence interval for beta
    0.11653
  • Upperbound of 95% confidence interval for beta
    0.16082
  • Lowerbound of 95% confidence interval for alpha
    0.03062
  • Upperbound of 95% confidence interval for alpha
    0.12420
  • Treynor index (mean / b)
    0.61936
  • Jensen alpha (a)
    0.07741
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00585
  • Expected Shortfall on VaR
    0.00741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00193
  • Expected Shortfall on VaR
    0.00423
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1561.00000
  • Minimum
    0.97840
  • Quartile 1
    0.99963
  • Median
    1.00008
  • Quartile 3
    1.00122
  • Maximum
    1.02214
  • Mean of quarter 1
    0.99687
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00054
  • Mean of quarter 4
    1.00442
  • Inter Quartile Range
    0.00159
  • Number outliers low
    143.00000
  • Percentage of outliers low
    0.09161
  • Mean of outliers low
    0.99357
  • Number of outliers high
    163.00000
  • Percentage of outliers high
    0.10442
  • Mean of outliers high
    1.00758
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45660
  • VaR(95%) (moments method)
    0.00292
  • Expected Shortfall (moments method)
    0.00661
  • Extreme Value Index (regression method)
    0.16482
  • VaR(95%) (regression method)
    0.00305
  • Expected Shortfall (regression method)
    0.00520
  • 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
    0.06140
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00137
  • Mean of quarter 3
    0.00491
  • Mean of quarter 4
    0.02081
  • 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
    0.03586
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26422
  • VaR(95%) (moments method)
    0.02086
  • Expected Shortfall (moments method)
    0.03393
  • Extreme Value Index (regression method)
    0.31069
  • VaR(95%) (regression method)
    0.02020
  • Expected Shortfall (regression method)
    0.03372
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16280
  • Compounded annual return (geometric extrapolation)
    0.12053
  • Calmar ratio (compounded annual return / max draw down)
    1.96300
  • Compounded annual return / average of 25% largest draw downs
    5.79144
  • Compounded annual return / Expected Shortfall lognormal
    16.26840
  • 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
    -0.04791
  • SD
    0.05966
  • Sharpe ratio (Glass type estimate)
    -0.80304
  • Sharpe ratio (Hedges UMVUE)
    -0.79840
  • df
    130.00000
  • t
    -0.56784
  • p
    0.52487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.57512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.57190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97510
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.04940
  • Upside Potential Ratio
    4.19000
  • Upside part of mean
    0.19129
  • Downside part of mean
    -0.23920
  • Upside SD
    0.03817
  • Downside SD
    0.04565
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11230
  • Mean of criterion
    -0.04791
  • SD of predictor
    0.16922
  • SD of criterion
    0.05966
  • Covariance
    0.00332
  • r
    0.32900
  • b (slope, estimate of beta)
    0.11600
  • a (intercept, estimate of alpha)
    -0.06094
  • Mean Square Error
    0.00320
  • DF error
    129.00000
  • t(b)
    3.95708
  • p(b)
    0.29439
  • t(a)
    -0.76121
  • p(a)
    0.54254
  • Lowerbound of 95% confidence interval for beta
    0.05800
  • Upperbound of 95% confidence interval for beta
    0.17400
  • Lowerbound of 95% confidence interval for alpha
    -0.21932
  • Upperbound of 95% confidence interval for alpha
    0.09745
  • Treynor index (mean / b)
    -0.41302
  • Jensen alpha (a)
    -0.06094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04968
  • SD
    0.05974
  • Sharpe ratio (Glass type estimate)
    -0.83154
  • Sharpe ratio (Hedges UMVUE)
    -0.82673
  • df
    130.00000
  • t
    -0.58799
  • p
    0.52575
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.60362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.60036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94689
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08018
  • Upside Potential Ratio
    4.14321
  • Upside part of mean
    0.19055
  • Downside part of mean
    -0.24023
  • Upside SD
    0.03790
  • Downside SD
    0.04599
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09809
  • Mean of criterion
    -0.04968
  • SD of predictor
    0.16896
  • SD of criterion
    0.05974
  • Covariance
    0.00334
  • r
    0.33103
  • b (slope, estimate of beta)
    0.11704
  • a (intercept, estimate of alpha)
    -0.06116
  • Mean Square Error
    0.00320
  • DF error
    129.00000
  • t(b)
    3.98435
  • p(b)
    0.29318
  • t(a)
    -0.76367
  • p(a)
    0.54268
  • Lowerbound of 95% confidence interval for beta
    0.05892
  • Upperbound of 95% confidence interval for beta
    0.17517
  • Lowerbound of 95% confidence interval for alpha
    -0.21961
  • Upperbound of 95% confidence interval for alpha
    0.09729
  • Treynor index (mean / b)
    -0.42444
  • Jensen alpha (a)
    -0.06116
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00624
  • Expected Shortfall on VaR
    0.00777
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00259
  • Expected Shortfall on VaR
    0.00555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97862
  • Quartile 1
    0.99994
  • Median
    1.00000
  • Quartile 3
    1.00030
  • Maximum
    1.02053
  • Mean of quarter 1
    0.99668
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00004
  • Mean of quarter 4
    1.00299
  • Inter Quartile Range
    0.00036
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.20611
  • Mean of outliers low
    0.99600
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.19084
  • Mean of outliers high
    1.00379
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35372
  • VaR(95%) (moments method)
    0.00264
  • Expected Shortfall (moments method)
    0.00547
  • Extreme Value Index (regression method)
    0.46165
  • VaR(95%) (regression method)
    0.00378
  • Expected Shortfall (regression method)
    0.00960
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00002
  • Median
    0.00040
  • Quartile 3
    0.00461
  • Maximum
    0.05545
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00013
  • Mean of quarter 3
    0.00138
  • Mean of quarter 4
    0.02020
  • Inter Quartile Range
    0.00459
  • 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
    0.06667
  • Mean of outliers high
    0.05545
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.85977
  • VaR(95%) (moments method)
    0.02321
  • Expected Shortfall (moments method)
    0.16376
  • Extreme Value Index (regression method)
    2.45548
  • VaR(95%) (regression method)
    0.02586
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02165
  • Compounded annual return (geometric extrapolation)
    -0.02154
  • Calmar ratio (compounded annual return / max draw down)
    -0.38837
  • Compounded annual return / average of 25% largest draw downs
    -1.06636
  • Compounded annual return / Expected Shortfall lognormal
    -2.77113

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
$15,000
# Trades
1382
# Profitable
932
% Profitable
67.4%
Net Dividends
Correlation S&P500
0.289
Sharpe Ratio
0.81
Sortino Ratio
1.23
Beta
0.15
Alpha
0.01
Leverage
0.36 Average
2.28 Maximum

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 nominal value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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