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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 4 days ago

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 $25.00 per month.

5.5%
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.

(9.9%)
Max Drawdown
546
Num Trades
57.7%
Win Trades
1.4 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+1.4%+0.4%+4.3%+3.3%  -  +0.1%+1.6%(1.2%)+2.1%(1.5%)+5.5%+1.1%+18.3%
2017+0.8%(0.2%)+1.9%+0.8%(1.2%)(0.7%)+2.5%(1%)(1.3%)+0.6%+0.3%+0.1%+2.5%
2018(0.9%)(3.9%)+2.1%(1.1%)+0.2%+0.4%(0.4%)  -  +1.1%+0.4%(1.2%)(1.9%)(5%)
2019+2.3%+0.4%                                                            +2.7%

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 72 hours.

Trading Record

This strategy has placed 522 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/14/19 9:30 REGN REGENERON PHARMACEUTICALS LONG 14 412.00 2/15 15:53 423.76 0.04%
Trade id #122522363
Max drawdown($48)
Time2/14/19 11:05
Quant open14
Worst price408.56
Drawdown as % of equity-0.04%
$165
Includes Typical Broker Commissions trade costs of $0.28
2/13/19 9:30 PLD PROLOGIS LONG 107 70.42 2/14 15:54 70.87 0.03%
Trade id #122499820
Max drawdown($30)
Time2/14/19 9:31
Quant open107
Worst price70.13
Drawdown as % of equity-0.03%
$46
Includes Typical Broker Commissions trade costs of $2.14
2/11/19 9:34 SPG SIMON PROPERTY GROUP LONG 44 183.58 2/13 15:54 184.28 0.07%
Trade id #122454724
Max drawdown($85)
Time2/13/19 9:32
Quant open44
Worst price181.64
Drawdown as % of equity-0.07%
$30
Includes Typical Broker Commissions trade costs of $0.88
2/13/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 220 121.16 2/13 9:38 121.01 0.03%
Trade id #122499653
Max drawdown($33)
Time2/13/19 9:38
Quant open0
Worst price121.01
Drawdown as % of equity-0.03%
($37)
Includes Typical Broker Commissions trade costs of $4.40
2/13/19 9:30 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 2,647 83.63 2/13 9:30 83.62 0.02%
Trade id #122499775
Max drawdown($26)
Time2/13/19 9:30
Quant open0
Worst price83.62
Drawdown as % of equity-0.02%
($31)
Includes Typical Broker Commissions trade costs of $5.00
2/8/19 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 210 53.43 2/12 15:54 54.35 0.03%
Trade id #122429346
Max drawdown($42)
Time2/8/19 10:21
Quant open210
Worst price53.23
Drawdown as % of equity-0.03%
$189
Includes Typical Broker Commissions trade costs of $4.20
2/7/19 9:30 REGN REGENERON PHARMACEUTICALS LONG 15 405.00 2/12 15:54 416.30 0.07%
Trade id #122412889
Max drawdown($85)
Time2/8/19 10:15
Quant open15
Worst price399.29
Drawdown as % of equity-0.07%
$170
Includes Typical Broker Commissions trade costs of $0.30
2/7/19 9:41 ADC AGREE REALTY LONG 148 65.96 2/12 10:31 65.29 0.08%
Trade id #122413454
Max drawdown($99)
Time2/12/19 10:31
Quant open0
Worst price65.29
Drawdown as % of equity-0.08%
($102)
Includes Typical Broker Commissions trade costs of $2.96
2/4/19 9:32 PSA PUBLIC STORAGE LONG 51 208.98 2/12 9:40 208.48 0.06%
Trade id #122340531
Max drawdown($79)
Time2/5/19 10:35
Quant open51
Worst price207.43
Drawdown as % of equity-0.06%
($27)
Includes Typical Broker Commissions trade costs of $1.02
2/7/19 9:30 SPG SIMON PROPERTY GROUP LONG 44 182.57 2/7 15:53 185.77 0.04%
Trade id #122412830
Max drawdown($52)
Time2/7/19 9:57
Quant open44
Worst price181.38
Drawdown as % of equity-0.04%
$140
Includes Typical Broker Commissions trade costs of $0.88
2/7/19 9:30 PLD PROLOGIS LONG 109 69.27 2/7 15:53 70.55 0.01%
Trade id #122412769
Max drawdown($10)
Time2/7/19 9:35
Quant open109
Worst price69.17
Drawdown as % of equity-0.01%
$138
Includes Typical Broker Commissions trade costs of $2.18
2/6/19 10:10 TMUS T-MOBILE US INC. COMMON STOCK LONG 123 66.69 2/7 9:33 65.82 0.09%
Trade id #122391022
Max drawdown($107)
Time2/7/19 9:33
Quant open0
Worst price65.82
Drawdown as % of equity-0.09%
($109)
Includes Typical Broker Commissions trade costs of $2.46
2/4/19 9:30 SAND SANDSTORM GOLD LONG 808 5.15 2/7 9:30 5.27 0%
Trade id #122340321
Max drawdown$0
Time2/4/19 9:32
Quant open808
Worst price5.15
Drawdown as % of equity0.00%
$92
Includes Typical Broker Commissions trade costs of $5.00
2/1/19 9:30 RRC RANGE RESOURCES LONG 327 10.98 2/6 13:27 10.36 0.17%
Trade id #122312606
Max drawdown($203)
Time2/6/19 13:27
Quant open0
Worst price10.36
Drawdown as % of equity-0.17%
($210)
Includes Typical Broker Commissions trade costs of $6.54
2/5/19 10:38 REGN REGENERON PHARMACEUTICALS LONG 14 424.23 2/6 11:01 409.85 0.16%
Trade id #122366410
Max drawdown($201)
Time2/6/19 11:01
Quant open0
Worst price409.85
Drawdown as % of equity-0.16%
($201)
Includes Typical Broker Commissions trade costs of $0.28
2/6/19 9:31 CNC CENTENE LONG 46 127.03 2/6 9:34 124.67 0.09%
Trade id #122389438
Max drawdown($109)
Time2/6/19 9:34
Quant open0
Worst price124.67
Drawdown as % of equity-0.09%
($110)
Includes Typical Broker Commissions trade costs of $0.92
2/4/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 219 120.44 2/5 15:53 120.94 0.08%
Trade id #122340314
Max drawdown($91)
Time2/4/19 10:47
Quant open219
Worst price120.02
Drawdown as % of equity-0.08%
$106
Includes Typical Broker Commissions trade costs of $4.38
2/1/19 9:30 DG DOLLAR GENERAL LONG 83 115.50 2/4 15:53 116.57 0.14%
Trade id #122312777
Max drawdown($169)
Time2/1/19 11:04
Quant open83
Worst price113.46
Drawdown as % of equity-0.14%
$87
Includes Typical Broker Commissions trade costs of $1.66
2/1/19 9:30 KT KT CORPORATION LONG 476 13.83 2/1 15:53 13.81 0.05%
Trade id #122312782
Max drawdown($66)
Time2/1/19 11:14
Quant open476
Worst price13.69
Drawdown as % of equity-0.05%
($20)
Includes Typical Broker Commissions trade costs of $9.52
2/1/19 9:30 NFLX NETFLIX LONG 12 337.31 2/1 15:53 339.31 0%
Trade id #122312580
Max drawdown($1)
Time2/1/19 9:32
Quant open12
Worst price337.16
Drawdown as % of equity-0.00%
$24
Includes Typical Broker Commissions trade costs of $0.24
1/31/19 9:32 ADC AGREE REALTY LONG 152 64.82 2/1 9:30 66.03 0.05%
Trade id #122289321
Max drawdown($55)
Time1/31/19 9:37
Quant open152
Worst price64.46
Drawdown as % of equity-0.05%
$181
Includes Typical Broker Commissions trade costs of $3.04
1/31/19 9:33 TMUS T-MOBILE US INC. COMMON STOCK LONG 123 68.09 1/31 15:53 69.76 0.01%
Trade id #122289329
Max drawdown($7)
Time1/31/19 9:35
Quant open123
Worst price68.03
Drawdown as % of equity-0.01%
$203
Includes Typical Broker Commissions trade costs of $2.46
1/28/19 9:30 KMB KIMBERLY-CLARK LONG 69 107.97 1/31 15:53 111.76 0.03%
Trade id #122214335
Max drawdown($36)
Time1/29/19 10:15
Quant open69
Worst price107.44
Drawdown as % of equity-0.03%
$261
Includes Typical Broker Commissions trade costs of $1.38
1/31/19 9:32 KT KT CORPORATION LONG 474 13.72 1/31 15:53 13.80 0.03%
Trade id #122289307
Max drawdown($33)
Time1/31/19 9:44
Quant open474
Worst price13.65
Drawdown as % of equity-0.03%
$29
Includes Typical Broker Commissions trade costs of $9.48
1/31/19 9:30 PSA PUBLIC STORAGE LONG 51 209.68 1/31 15:53 212.10 0.02%
Trade id #122289229
Max drawdown($24)
Time1/31/19 9:36
Quant open51
Worst price209.19
Drawdown as % of equity-0.02%
$123
Includes Typical Broker Commissions trade costs of $1.02
1/30/19 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 216 52.08 1/30 15:53 52.32 0.01%
Trade id #122265046
Max drawdown($17)
Time1/30/19 9:40
Quant open216
Worst price52.00
Drawdown as % of equity-0.01%
$48
Includes Typical Broker Commissions trade costs of $4.32
1/29/19 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 219 53.22 1/30 15:53 53.60 0.04%
Trade id #122240792
Max drawdown($48)
Time1/30/19 9:31
Quant open219
Worst price53.00
Drawdown as % of equity-0.04%
$80
Includes Typical Broker Commissions trade costs of $4.38
1/28/19 9:30 KO COCA-COLA LONG 215 47.23 1/30 9:30 47.25 0.05%
Trade id #122214178
Max drawdown($62)
Time1/28/19 10:57
Quant open215
Worst price46.94
Drawdown as % of equity-0.05%
$0
Includes Typical Broker Commissions trade costs of $4.30
1/28/19 9:34 HSY HERSHEY COMPANY LONG 88 104.11 1/29 15:53 104.95 0.02%
Trade id #122214761
Max drawdown($18)
Time1/28/19 9:36
Quant open88
Worst price103.90
Drawdown as % of equity-0.02%
$72
Includes Typical Broker Commissions trade costs of $1.76
1/22/19 9:30 RRC RANGE RESOURCES LONG 307 11.36 1/29 15:53 11.32 0.25%
Trade id #122105275
Max drawdown($303)
Time1/23/19 12:42
Quant open307
Worst price10.37
Drawdown as % of equity-0.25%
($17)
Includes Typical Broker Commissions trade costs of $6.14

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1142.43
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    546
  • # Profitable
    315
  • % Profitable
    57.70%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    9.85%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $255.50
  • Avg loss
    $265.10
  • Model Account Values (Raw)
  • Cash
    $112,152
  • Margin Used
    $0
  • Buying Power
    $112,234
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.635
  • Sortino Ratio
    0.923
  • Calmar Ratio
    0.809
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31500
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Ann Return (Compnd, No Fees)
    6.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    709
  • C2 Score
    82.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $265
  • Avg Win
    $256
  • # Winners
    315
  • # Losers
    231
  • % Winners
    57.7%
  • Frequency
  • Avg Position Time (mins)
    5800.45
  • Avg Position Time (hrs)
    96.67
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03952
  • SD
    0.07175
  • Sharpe ratio (Glass type estimate)
    0.55084
  • Sharpe ratio (Hedges UMVUE)
    0.53927
  • df
    36.00000
  • t
    0.96724
  • p
    0.16994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67048
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66238
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89160
  • Upside Potential Ratio
    2.38935
  • Upside part of mean
    0.10591
  • Downside part of mean
    -0.06639
  • Upside SD
    0.05634
  • Downside SD
    0.04433
  • N nonnegative terms
    18.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.08077
  • Mean of criterion
    0.03952
  • SD of predictor
    0.11717
  • SD of criterion
    0.07175
  • Covariance
    0.00550
  • r
    0.65471
  • b (slope, estimate of beta)
    0.40090
  • a (intercept, estimate of alpha)
    0.00714
  • Mean Square Error
    0.00303
  • DF error
    35.00000
  • t(b)
    5.12420
  • p(b)
    0.00001
  • t(a)
    0.22341
  • p(a)
    0.41226
  • Lowerbound of 95% confidence interval for beta
    0.24207
  • Upperbound of 95% confidence interval for beta
    0.55972
  • Lowerbound of 95% confidence interval for alpha
    -0.05773
  • Upperbound of 95% confidence interval for alpha
    0.07201
  • Treynor index (mean / b)
    0.09858
  • Jensen alpha (a)
    0.00714
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03688
  • SD
    0.07151
  • Sharpe ratio (Glass type estimate)
    0.51577
  • Sharpe ratio (Hedges UMVUE)
    0.50493
  • df
    36.00000
  • t
    0.90566
  • p
    0.18557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62720
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81401
  • Upside Potential Ratio
    2.29819
  • Upside part of mean
    0.10413
  • Downside part of mean
    -0.06725
  • Upside SD
    0.05510
  • Downside SD
    0.04531
  • N nonnegative terms
    18.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.07369
  • Mean of criterion
    0.03688
  • SD of predictor
    0.11708
  • SD of criterion
    0.07151
  • Covariance
    0.00549
  • r
    0.65538
  • b (slope, estimate of beta)
    0.40029
  • a (intercept, estimate of alpha)
    0.00739
  • Mean Square Error
    0.00300
  • DF error
    35.00000
  • t(b)
    5.13341
  • p(b)
    0.00001
  • t(a)
    0.23284
  • p(a)
    0.40862
  • Lowerbound of 95% confidence interval for beta
    0.24199
  • Upperbound of 95% confidence interval for beta
    0.55859
  • Lowerbound of 95% confidence interval for alpha
    -0.05701
  • Upperbound of 95% confidence interval for alpha
    0.07178
  • Treynor index (mean / b)
    0.09214
  • Jensen alpha (a)
    0.00739
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03041
  • Expected Shortfall on VaR
    0.03871
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01283
  • Expected Shortfall on VaR
    0.02639
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99674
  • Median
    1.00194
  • Quartile 3
    1.01783
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98385
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.01011
  • Mean of quarter 4
    1.03083
  • Inter Quartile Range
    0.02109
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02703
  • Mean of outliers low
    0.93982
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02703
  • Mean of outliers high
    1.06361
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29311
  • VaR(95%) (moments method)
    0.01219
  • Expected Shortfall (moments method)
    0.02218
  • Extreme Value Index (regression method)
    0.12291
  • VaR(95%) (regression method)
    0.01670
  • Expected Shortfall (regression method)
    0.02690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00083
  • Quartile 1
    0.00958
  • Median
    0.01798
  • Quartile 3
    0.02211
  • Maximum
    0.07332
  • Mean of quarter 1
    0.00520
  • Mean of quarter 2
    0.01798
  • Mean of quarter 3
    0.02211
  • Mean of quarter 4
    0.07332
  • Inter Quartile Range
    0.01254
  • 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
    0.20000
  • Mean of outliers high
    0.07332
  • 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)
    0.07171
  • Compounded annual return (geometric extrapolation)
    0.06693
  • Calmar ratio (compounded annual return / max draw down)
    0.91290
  • Compounded annual return / average of 25% largest draw downs
    0.91290
  • Compounded annual return / Expected Shortfall lognormal
    1.72919
  • 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
    0.03935
  • SD
    0.06194
  • Sharpe ratio (Glass type estimate)
    0.63538
  • Sharpe ratio (Hedges UMVUE)
    0.63480
  • df
    810.00000
  • t
    1.11788
  • p
    0.13197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74923
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92344
  • Upside Potential Ratio
    7.07336
  • Upside part of mean
    0.30144
  • Downside part of mean
    -0.26209
  • Upside SD
    0.04496
  • Downside SD
    0.04262
  • N nonnegative terms
    389.00000
  • N negative terms
    422.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    811.00000
  • Mean of predictor
    0.08463
  • Mean of criterion
    0.03935
  • SD of predictor
    0.13171
  • SD of criterion
    0.06194
  • Covariance
    0.00264
  • r
    0.32405
  • b (slope, estimate of beta)
    0.15239
  • a (intercept, estimate of alpha)
    0.02600
  • Mean Square Error
    0.00344
  • DF error
    809.00000
  • t(b)
    9.74275
  • p(b)
    -0.00000
  • t(a)
    0.79329
  • p(a)
    0.21392
  • Lowerbound of 95% confidence interval for beta
    0.12169
  • Upperbound of 95% confidence interval for beta
    0.18309
  • Lowerbound of 95% confidence interval for alpha
    -0.03901
  • Upperbound of 95% confidence interval for alpha
    0.09192
  • Treynor index (mean / b)
    0.25824
  • Jensen alpha (a)
    0.02646
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03743
  • SD
    0.06195
  • Sharpe ratio (Glass type estimate)
    0.60421
  • Sharpe ratio (Hedges UMVUE)
    0.60366
  • df
    810.00000
  • t
    1.06304
  • p
    0.14404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71805
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87234
  • Upside Potential Ratio
    7.00113
  • Upside part of mean
    0.30040
  • Downside part of mean
    -0.26297
  • Upside SD
    0.04469
  • Downside SD
    0.04291
  • N nonnegative terms
    389.00000
  • N negative terms
    422.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    811.00000
  • Mean of predictor
    0.07593
  • Mean of criterion
    0.03743
  • SD of predictor
    0.13194
  • SD of criterion
    0.06195
  • Covariance
    0.00265
  • r
    0.32425
  • b (slope, estimate of beta)
    0.15224
  • a (intercept, estimate of alpha)
    0.02587
  • Mean Square Error
    0.00344
  • DF error
    809.00000
  • t(b)
    9.74933
  • p(b)
    -0.00000
  • t(a)
    0.77574
  • p(a)
    0.21906
  • Lowerbound of 95% confidence interval for beta
    0.12159
  • Upperbound of 95% confidence interval for beta
    0.18290
  • Lowerbound of 95% confidence interval for alpha
    -0.03959
  • Upperbound of 95% confidence interval for alpha
    0.09133
  • Treynor index (mean / b)
    0.24586
  • Jensen alpha (a)
    0.02587
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00613
  • Expected Shortfall on VaR
    0.00772
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00232
  • Expected Shortfall on VaR
    0.00497
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    811.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99916
  • Median
    1.00003
  • Quartile 3
    1.00128
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99643
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00056
  • Mean of quarter 4
    1.00425
  • Inter Quartile Range
    0.00212
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.06535
  • Mean of outliers low
    0.99197
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.07768
  • Mean of outliers high
    1.00828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48346
  • VaR(95%) (moments method)
    0.00334
  • Expected Shortfall (moments method)
    0.00752
  • Extreme Value Index (regression method)
    0.37979
  • VaR(95%) (regression method)
    0.00313
  • Expected Shortfall (regression method)
    0.00609
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00049
  • Median
    0.00243
  • Quartile 3
    0.00887
  • Maximum
    0.08351
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00125
  • Mean of quarter 3
    0.00551
  • Mean of quarter 4
    0.02925
  • Inter Quartile Range
    0.00838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.04153
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01419
  • VaR(95%) (moments method)
    0.02365
  • Expected Shortfall (moments method)
    0.03308
  • Extreme Value Index (regression method)
    0.32948
  • VaR(95%) (regression method)
    0.03978
  • Expected Shortfall (regression method)
    0.07674
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07241
  • Compounded annual return (geometric extrapolation)
    0.06752
  • Calmar ratio (compounded annual return / max draw down)
    0.80854
  • Compounded annual return / average of 25% largest draw downs
    2.30831
  • Compounded annual return / Expected Shortfall lognormal
    8.74531
  • 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
    0.04534
  • SD
    0.05571
  • Sharpe ratio (Glass type estimate)
    0.81373
  • Sharpe ratio (Hedges UMVUE)
    0.80903
  • df
    130.00000
  • t
    0.57540
  • p
    0.47480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96129
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58258
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23942
  • Upside Potential Ratio
    7.40229
  • Upside part of mean
    0.27077
  • Downside part of mean
    -0.22543
  • Upside SD
    0.04184
  • Downside SD
    0.03658
  • 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
    -0.04035
  • Mean of criterion
    0.04534
  • SD of predictor
    0.19124
  • SD of criterion
    0.05571
  • Covariance
    0.00180
  • r
    0.16851
  • b (slope, estimate of beta)
    0.04909
  • a (intercept, estimate of alpha)
    0.04732
  • Mean Square Error
    0.00304
  • DF error
    129.00000
  • t(b)
    1.94162
  • p(b)
    0.39324
  • t(a)
    0.60685
  • p(a)
    0.46605
  • Lowerbound of 95% confidence interval for beta
    -0.00093
  • Upperbound of 95% confidence interval for beta
    0.09912
  • Lowerbound of 95% confidence interval for alpha
    -0.10695
  • Upperbound of 95% confidence interval for alpha
    0.20159
  • Treynor index (mean / b)
    0.92353
  • Jensen alpha (a)
    0.04732
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04379
  • SD
    0.05567
  • Sharpe ratio (Glass type estimate)
    0.78661
  • Sharpe ratio (Hedges UMVUE)
    0.78206
  • df
    130.00000
  • t
    0.55622
  • p
    0.47564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18951
  • Upside Potential Ratio
    7.33083
  • Upside part of mean
    0.26987
  • Downside part of mean
    -0.22608
  • Upside SD
    0.04156
  • Downside SD
    0.03681
  • 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
    -0.05849
  • Mean of criterion
    0.04379
  • SD of predictor
    0.19123
  • SD of criterion
    0.05567
  • Covariance
    0.00180
  • r
    0.16954
  • b (slope, estimate of beta)
    0.04935
  • a (intercept, estimate of alpha)
    0.04668
  • Mean Square Error
    0.00303
  • DF error
    129.00000
  • t(b)
    1.95387
  • p(b)
    0.39259
  • t(a)
    0.59917
  • p(a)
    0.46648
  • Lowerbound of 95% confidence interval for beta
    -0.00062
  • Upperbound of 95% confidence interval for beta
    0.09933
  • Lowerbound of 95% confidence interval for alpha
    -0.10746
  • Upperbound of 95% confidence interval for alpha
    0.20081
  • Treynor index (mean / b)
    0.88726
  • Jensen alpha (a)
    0.04668
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.00690
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00193
  • Expected Shortfall on VaR
    0.00416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98053
  • Quartile 1
    0.99933
  • Median
    1.00026
  • Quartile 3
    1.00133
  • Maximum
    1.01849
  • Mean of quarter 1
    0.99694
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.00361
  • Inter Quartile Range
    0.00201
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.99334
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01046
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18057
  • VaR(95%) (moments method)
    0.00268
  • Expected Shortfall (moments method)
    0.00423
  • Extreme Value Index (regression method)
    0.19354
  • VaR(95%) (regression method)
    0.00271
  • Expected Shortfall (regression method)
    0.00431
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00069
  • Median
    0.00316
  • Quartile 3
    0.01147
  • Maximum
    0.03496
  • Mean of quarter 1
    0.00020
  • Mean of quarter 2
    0.00185
  • Mean of quarter 3
    0.00575
  • Mean of quarter 4
    0.02388
  • Inter Quartile Range
    0.01078
  • 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
    0.09091
  • Mean of outliers high
    0.03496
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51412
  • VaR(95%) (moments method)
    0.02772
  • Expected Shortfall (moments method)
    0.03176
  • Extreme Value Index (regression method)
    1.01941
  • VaR(95%) (regression method)
    0.03621
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07300
  • Compounded annual return (geometric extrapolation)
    0.07433
  • Calmar ratio (compounded annual return / max draw down)
    2.12609
  • Compounded annual return / average of 25% largest draw downs
    3.11204
  • Compounded annual return / Expected Shortfall lognormal
    10.76880

Strategy Description

WOversold is designed to consider trading long stocks and ETFs.
by combining proprietary technical and fundamental indicators.

This strategy is optimized to trade each ticker individually and then the
aggregate strategy is traded into this one account (with appropriate
position adjustments for the combined risk). Currently shorts are
never taken. I believe the fundamental strategy can be modified to
trade long many instrument and I might expand it to trade more
individual instruments (stocks and ETFs) as time goes on. The goal behind
each additional symbol that is added is to increase the total account value by
taking high probability trades.
Margin is not used.

WOversold posts trades at around 3:45 Eastern Time as limit orders to
be filled in the market before the close. Each day the strategy looks
if a ticker is oversold "enough" and when it is found to be so it will
put on an opening trade. When a ticker is no longer oversold the
strategy will exit. A typical trade should have you in the market
long for 2-3 days and there can be a gap of 3-4 days between trades on
any given symbol.

There is currently no stop loss logic in place, so if you decide to
trade this strategy and you desire that logic you should enforce it
yourself. The placement of these stops is somewhat dependent on how
much capital you can risk and is therefore more of a trader dependent
consideration.

I have backtested this strategy on the current symbol list from 2000
to the present date and it has seemed to perform well. I can provide
these backtest results to paying strategy subscribers.

Summary Statistics

Strategy began
2016-01-03
Suggested Minimum Capital
$35,000
# Trades
546
# Profitable
315
% Profitable
57.7%
Net Dividends
Correlation S&P500
0.315
Sharpe Ratio
0.635

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.

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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.