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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 5 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.

5.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(9.9%)
Max Drawdown
426
Num Trades
58.7%
Win Trades
1.4 : 1
Profit Factor
58.8%
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%)(3.8%)+2.1%(1.1%)+0.2%+0.4%(0.4%)  -  +1.1%(0.9%)            (3.3%)

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
10/15/18 15:52 XLV HEALTH CARE SELECT SECTOR SPDR LONG 213 90.63 10/17 15:52 93.40 0.08%
Trade id #120363068
Max drawdown($97)
Time10/15/18 16:54
Quant open213
Worst price90.17
Drawdown as % of equity-0.08%
$586
Includes Typical Broker Commissions trade costs of $4.26
10/12/18 15:52 MO ALTRIA LONG 155 60.27 10/17 15:52 60.65 0.03%
Trade id #120332613
Max drawdown($41)
Time10/12/18 16:57
Quant open155
Worst price60.00
Drawdown as % of equity-0.03%
$56
Includes Typical Broker Commissions trade costs of $3.10
10/11/18 15:51 XLU UTILITIES SELECT SECTOR SPDR LONG 324 53.09 10/16 15:52 53.84 0.16%
Trade id #120310428
Max drawdown($188)
Time10/12/18 13:01
Quant open324
Worst price52.51
Drawdown as % of equity-0.16%
$238
Includes Typical Broker Commissions trade costs of $6.48
10/11/18 15:51 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 342 82.97 10/16 15:52 82.95 0.01%
Trade id #120310406
Max drawdown($9)
Time10/16/18 10:26
Quant open342
Worst price82.94
Drawdown as % of equity-0.01%
($14)
Includes Typical Broker Commissions trade costs of $6.84
10/12/18 15:52 XLE ENERGY SELECT SECTOR SPDR LONG 199 73.14 10/15 15:52 72.59 0.12%
Trade id #120332622
Max drawdown($145)
Time10/15/18 12:14
Quant open199
Worst price72.41
Drawdown as % of equity-0.12%
($113)
Includes Typical Broker Commissions trade costs of $3.98
10/11/18 15:51 XLV HEALTH CARE SELECT SECTOR SPDR LONG 213 90.11 10/12 15:52 91.25 0.09%
Trade id #120310427
Max drawdown($108)
Time10/11/18 16:05
Quant open213
Worst price89.60
Drawdown as % of equity-0.09%
$238
Includes Typical Broker Commissions trade costs of $4.26
10/11/18 15:51 XLE ENERGY SELECT SECTOR SPDR LONG 200 73.01 10/12 12:49 72.09 0.15%
Trade id #120310425
Max drawdown($183)
Time10/12/18 12:49
Quant open0
Worst price72.09
Drawdown as % of equity-0.15%
($187)
Includes Typical Broker Commissions trade costs of $4.00
10/10/18 15:52 MO ALTRIA LONG 150 63.22 10/11 13:06 61.79 0.18%
Trade id #120284615
Max drawdown($215)
Time10/11/18 13:06
Quant open0
Worst price61.79
Drawdown as % of equity-0.18%
($218)
Includes Typical Broker Commissions trade costs of $3.00
10/10/18 15:52 SPY SPDR S&P 500 LONG 62 279.62 10/11 10:50 275.99 0.3%
Trade id #120284634
Max drawdown($359)
Time10/11/18 5:12
Quant open62
Worst price273.82
Drawdown as % of equity-0.30%
($226)
Includes Typical Broker Commissions trade costs of $1.24
10/5/18 15:52 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 659 31.77 10/11 9:51 31.48 0.16%
Trade id #120212799
Max drawdown($191)
Time10/11/18 9:51
Quant open0
Worst price31.48
Drawdown as % of equity-0.16%
($196)
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 15:52 QQQ POWERSHARES QQQ LONG 96 172.72 10/11 9:36 170.66 0.35%
Trade id #120284633
Max drawdown($419)
Time10/10/18 21:57
Quant open96
Worst price168.35
Drawdown as % of equity-0.35%
($200)
Includes Typical Broker Commissions trade costs of $1.92
10/9/18 15:51 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 353 82.89 10/10 15:52 82.91 0.01%
Trade id #120261479
Max drawdown($7)
Time10/10/18 9:31
Quant open353
Worst price82.87
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $7.06
10/8/18 15:51 SPY SPDR S&P 500 LONG 61 287.98 10/10 9:57 284.90 0.16%
Trade id #120240654
Max drawdown($188)
Time10/10/18 9:57
Quant open0
Worst price284.90
Drawdown as % of equity-0.16%
($189)
Includes Typical Broker Commissions trade costs of $1.22
10/9/18 15:51 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 219 77.99 10/10 9:42 77.12 0.16%
Trade id #120261497
Max drawdown($191)
Time10/10/18 9:42
Quant open0
Worst price77.12
Drawdown as % of equity-0.16%
($195)
Includes Typical Broker Commissions trade costs of $4.38
10/5/18 15:52 XLP SPDR CONSUMER STAPLES SELECT LONG 362 53.49 10/8 15:51 54.19 0.05%
Trade id #120212798
Max drawdown($57)
Time10/8/18 9:16
Quant open362
Worst price53.33
Drawdown as % of equity-0.05%
$246
Includes Typical Broker Commissions trade costs of $7.24
10/4/18 15:52 SPY SPDR S&P 500 LONG 61 289.44 10/8 11:41 285.97 0.18%
Trade id #120190178
Max drawdown($212)
Time10/8/18 11:41
Quant open0
Worst price285.97
Drawdown as % of equity-0.18%
($213)
Includes Typical Broker Commissions trade costs of $1.22
10/3/18 15:52 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 356 82.92 10/5 15:52 82.87 0.02%
Trade id #120170362
Max drawdown($21)
Time10/5/18 9:53
Quant open356
Worst price82.86
Drawdown as % of equity-0.02%
($25)
Includes Typical Broker Commissions trade costs of $7.12
10/4/18 15:52 QQQ POWERSHARES QQQ LONG 93 182.40 10/5 11:18 180.16 0.17%
Trade id #120190172
Max drawdown($208)
Time10/5/18 11:18
Quant open0
Worst price180.16
Drawdown as % of equity-0.17%
($210)
Includes Typical Broker Commissions trade costs of $1.86
9/24/18 15:52 SPY SPDR S&P 500 LONG 60 290.95 10/4 10:56 289.86 0.94%
Trade id #120011471
Max drawdown($1,145)
Time10/3/18 16:01
Quant open60
Worst price271.86
Drawdown as % of equity-0.94%
($66)
Includes Typical Broker Commissions trade costs of $1.20
10/2/18 15:52 XLV HEALTH CARE SELECT SECTOR SPDR LONG 209 95.51 10/4 10:15 94.56 0.16%
Trade id #120142964
Max drawdown($199)
Time10/4/18 10:15
Quant open0
Worst price94.56
Drawdown as % of equity-0.16%
($203)
Includes Typical Broker Commissions trade costs of $4.18
10/1/18 15:52 QQQ POWERSHARES QQQ LONG 91 186.06 10/4 10:11 183.72 0.17%
Trade id #120123788
Max drawdown($213)
Time10/4/18 10:11
Quant open0
Worst price183.72
Drawdown as % of equity-0.17%
($215)
Includes Typical Broker Commissions trade costs of $1.82
9/21/18 15:51 XLP SPDR CONSUMER STAPLES SELECT LONG 354 54.63 10/2 15:52 54.17 0.3%
Trade id #119984773
Max drawdown($367)
Time9/27/18 9:34
Quant open354
Worst price53.59
Drawdown as % of equity-0.30%
($169)
Includes Typical Broker Commissions trade costs of $7.08
9/18/18 15:51 XLU UTILITIES SELECT SECTOR SPDR LONG 544 53.78 9/28 15:52 52.67 1.13%
Trade id #119917688
Max drawdown($1,369)
Time9/26/18 17:36
Quant open544
Worst price51.26
Drawdown as % of equity-1.13%
($610)
Includes Typical Broker Commissions trade costs of $7.94
9/27/18 15:52 MO ALTRIA LONG 158 60.82 9/28 15:52 60.33 0.07%
Trade id #120075232
Max drawdown($85)
Time9/28/18 15:49
Quant open158
Worst price60.28
Drawdown as % of equity-0.07%
($80)
Includes Typical Broker Commissions trade costs of $3.16
9/26/18 15:51 QQQ POWERSHARES QQQ LONG 92 184.10 9/27 15:52 185.86 0.02%
Trade id #120053011
Max drawdown($24)
Time9/26/18 16:02
Quant open92
Worst price183.83
Drawdown as % of equity-0.02%
$160
Includes Typical Broker Commissions trade costs of $1.84
9/25/18 15:51 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 109 78.39 9/26 15:51 78.27 0.02%
Trade id #120031305
Max drawdown($21)
Time9/26/18 15:49
Quant open109
Worst price78.19
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $2.18
9/24/18 15:52 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 177 83.04 9/25 15:51 83.02 0%
Trade id #120011470
Max drawdown($5)
Time9/25/18 12:58
Quant open177
Worst price83.01
Drawdown as % of equity-0.00%
($8)
Includes Typical Broker Commissions trade costs of $3.54
9/21/18 15:51 QQQ POWERSHARES QQQ LONG 46 183.72 9/24 15:52 183.77 0.09%
Trade id #119984768
Max drawdown($111)
Time9/24/18 9:35
Quant open46
Worst price181.30
Drawdown as % of equity-0.09%
$1
Includes Typical Broker Commissions trade costs of $0.92
9/20/18 15:51 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 185 79.80 9/21 15:51 79.78 0.03%
Trade id #119958988
Max drawdown($38)
Time9/21/18 8:20
Quant open185
Worst price79.59
Drawdown as % of equity-0.03%
($8)
Includes Typical Broker Commissions trade costs of $3.70
9/19/18 15:51 XLV HEALTH CARE SELECT SECTOR SPDR LONG 157 93.62 9/20 15:51 94.44 0.01%
Trade id #119937503
Max drawdown($15)
Time9/19/18 16:02
Quant open157
Worst price93.52
Drawdown as % of equity-0.01%
$126
Includes Typical Broker Commissions trade costs of $3.14

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1022.76
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    426
  • # Profitable
    250
  • % Profitable
    58.70%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    9.85%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.8%
  • Avg win
    $289.22
  • Avg loss
    $310.19
  • Model Account Values (Raw)
  • Cash
    $120,781
  • Margin Used
    $0
  • Buying Power
    $120,781
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.654
  • Sortino Ratio
    0.95
  • Calmar Ratio
    0.842
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.36000
  • Return Statistics
  • Ann Return (w trading costs)
    5.8%
  • Ann Return (Compnd, No Fees)
    7.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.50%
  • 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)
    495
  • Popularity (Last 6 weeks)
    752
  • C2 Score
    82.3
  • 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
    $310
  • Avg Win
    $289
  • # Winners
    250
  • # Losers
    176
  • % Winners
    58.7%
  • Frequency
  • Avg Position Time (mins)
    6603.90
  • Avg Position Time (hrs)
    110.06
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04138
  • SD
    0.07228
  • Sharpe ratio (Glass type estimate)
    0.57242
  • Sharpe ratio (Hedges UMVUE)
    0.55888
  • df
    32.00000
  • t
    0.94925
  • p
    0.17480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74869
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93545
  • Upside Potential Ratio
    2.35193
  • Upside part of mean
    0.10403
  • Downside part of mean
    -0.06265
  • Upside SD
    0.05703
  • Downside SD
    0.04423
  • N nonnegative terms
    16.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08927
  • Mean of criterion
    0.04138
  • SD of predictor
    0.11164
  • SD of criterion
    0.07228
  • Covariance
    0.00506
  • r
    0.62670
  • b (slope, estimate of beta)
    0.40576
  • a (intercept, estimate of alpha)
    0.00515
  • Mean Square Error
    0.00328
  • DF error
    31.00000
  • t(b)
    4.47768
  • p(b)
    0.00005
  • t(a)
    0.14542
  • p(a)
    0.44266
  • Lowerbound of 95% confidence interval for beta
    0.22094
  • Upperbound of 95% confidence interval for beta
    0.59057
  • Lowerbound of 95% confidence interval for alpha
    -0.06714
  • Upperbound of 95% confidence interval for alpha
    0.07745
  • Treynor index (mean / b)
    0.10197
  • Jensen alpha (a)
    0.00515
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03870
  • SD
    0.07203
  • Sharpe ratio (Glass type estimate)
    0.53725
  • Sharpe ratio (Hedges UMVUE)
    0.52454
  • df
    32.00000
  • t
    0.89093
  • p
    0.18981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71341
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85462
  • Upside Potential Ratio
    2.25732
  • Upside part of mean
    0.10221
  • Downside part of mean
    -0.06352
  • Upside SD
    0.05573
  • Downside SD
    0.04528
  • N nonnegative terms
    16.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08273
  • Mean of criterion
    0.03870
  • SD of predictor
    0.11167
  • SD of criterion
    0.07203
  • Covariance
    0.00504
  • r
    0.62617
  • b (slope, estimate of beta)
    0.40391
  • a (intercept, estimate of alpha)
    0.00528
  • Mean Square Error
    0.00326
  • DF error
    31.00000
  • t(b)
    4.47154
  • p(b)
    0.00005
  • t(a)
    0.15005
  • p(a)
    0.44085
  • Lowerbound of 95% confidence interval for beta
    0.21968
  • Upperbound of 95% confidence interval for beta
    0.58813
  • Lowerbound of 95% confidence interval for alpha
    -0.06653
  • Upperbound of 95% confidence interval for alpha
    0.07710
  • Treynor index (mean / b)
    0.09581
  • Jensen alpha (a)
    0.00528
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03050
  • Expected Shortfall on VaR
    0.03886
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01208
  • Expected Shortfall on VaR
    0.02534
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99775
  • Median
    1.00194
  • Quartile 3
    1.01494
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98489
  • Mean of quarter 2
    1.00041
  • Mean of quarter 3
    1.00915
  • Mean of quarter 4
    1.03127
  • Inter Quartile Range
    0.01719
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.93982
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    1.05454
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35633
  • VaR(95%) (moments method)
    0.00990
  • Expected Shortfall (moments method)
    0.01974
  • Extreme Value Index (regression method)
    0.41006
  • VaR(95%) (regression method)
    0.01895
  • Expected Shortfall (regression method)
    0.04240
  • 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)
    0.07309
  • Compounded annual return (geometric extrapolation)
    0.06887
  • Calmar ratio (compounded annual return / max draw down)
    0.93937
  • Compounded annual return / average of 25% largest draw downs
    0.93937
  • Compounded annual return / Expected Shortfall lognormal
    1.77231
  • 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
    0.04214
  • SD
    0.06438
  • Sharpe ratio (Glass type estimate)
    0.65448
  • Sharpe ratio (Hedges UMVUE)
    0.65380
  • df
    727.00000
  • t
    1.09097
  • p
    0.13783
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83008
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95023
  • Upside Potential Ratio
    7.05362
  • Upside part of mean
    0.31278
  • Downside part of mean
    -0.27064
  • Upside SD
    0.04669
  • Downside SD
    0.04434
  • N nonnegative terms
    352.00000
  • N negative terms
    376.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    728.00000
  • Mean of predictor
    0.09372
  • Mean of criterion
    0.04214
  • SD of predictor
    0.11773
  • SD of criterion
    0.06438
  • Covariance
    0.00280
  • r
    0.36935
  • b (slope, estimate of beta)
    0.20197
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.00358
  • DF error
    726.00000
  • t(b)
    10.70920
  • p(b)
    0.00000
  • t(a)
    0.64535
  • p(a)
    0.25945
  • Lowerbound of 95% confidence interval for beta
    0.16495
  • Upperbound of 95% confidence interval for beta
    0.23900
  • Lowerbound of 95% confidence interval for alpha
    -0.04739
  • Upperbound of 95% confidence interval for alpha
    0.09380
  • Treynor index (mean / b)
    0.20862
  • Jensen alpha (a)
    0.02321
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04006
  • SD
    0.06440
  • Sharpe ratio (Glass type estimate)
    0.62206
  • Sharpe ratio (Hedges UMVUE)
    0.62142
  • df
    727.00000
  • t
    1.03693
  • p
    0.15006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79766
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89709
  • Upside Potential Ratio
    6.97961
  • Upside part of mean
    0.31167
  • Downside part of mean
    -0.27161
  • Upside SD
    0.04640
  • Downside SD
    0.04465
  • N nonnegative terms
    352.00000
  • N negative terms
    376.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    728.00000
  • Mean of predictor
    0.08675
  • Mean of criterion
    0.04006
  • SD of predictor
    0.11807
  • SD of criterion
    0.06440
  • Covariance
    0.00281
  • r
    0.36916
  • b (slope, estimate of beta)
    0.20134
  • a (intercept, estimate of alpha)
    0.02259
  • Mean Square Error
    0.00359
  • DF error
    726.00000
  • t(b)
    10.70260
  • p(b)
    0.00000
  • t(a)
    0.62818
  • p(a)
    0.26504
  • Lowerbound of 95% confidence interval for beta
    0.16441
  • Upperbound of 95% confidence interval for beta
    0.23827
  • Lowerbound of 95% confidence interval for alpha
    -0.04802
  • Upperbound of 95% confidence interval for alpha
    0.09320
  • Treynor index (mean / b)
    0.19896
  • Jensen alpha (a)
    0.02259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00637
  • Expected Shortfall on VaR
    0.00802
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00238
  • Expected Shortfall on VaR
    0.00512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    728.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99916
  • Median
    1.00004
  • Quartile 3
    1.00131
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99630
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00056
  • Mean of quarter 4
    1.00443
  • Inter Quartile Range
    0.00214
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.99190
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.08242
  • Mean of outliers high
    1.00841
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50975
  • VaR(95%) (moments method)
    0.00344
  • Expected Shortfall (moments method)
    0.00815
  • Extreme Value Index (regression method)
    0.35567
  • VaR(95%) (regression method)
    0.00333
  • Expected Shortfall (regression method)
    0.00640
  • 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)
    0.07481
  • Compounded annual return (geometric extrapolation)
    0.07033
  • Calmar ratio (compounded annual return / max draw down)
    0.84218
  • Compounded annual return / average of 25% largest draw downs
    2.40435
  • Compounded annual return / Expected Shortfall lognormal
    8.76916
  • 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
    -0.01374
  • SD
    0.05983
  • Sharpe ratio (Glass type estimate)
    -0.22963
  • Sharpe ratio (Hedges UMVUE)
    -0.22830
  • df
    130.00000
  • t
    -0.16237
  • p
    0.50712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00025
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54364
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30209
  • Upside Potential Ratio
    4.73020
  • Upside part of mean
    0.21512
  • Downside part of mean
    -0.22886
  • Upside SD
    0.03853
  • Downside SD
    0.04548
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    -0.01374
  • SD of predictor
    0.10785
  • SD of criterion
    0.05983
  • Covariance
    0.00200
  • r
    0.30991
  • b (slope, estimate of beta)
    0.17192
  • a (intercept, estimate of alpha)
    -0.02229
  • Mean Square Error
    0.00326
  • DF error
    129.00000
  • t(b)
    3.70224
  • p(b)
    0.30591
  • t(a)
    -0.27587
  • p(a)
    0.51546
  • Lowerbound of 95% confidence interval for beta
    0.08004
  • Upperbound of 95% confidence interval for beta
    0.26379
  • Lowerbound of 95% confidence interval for alpha
    -0.18213
  • Upperbound of 95% confidence interval for alpha
    0.13755
  • Treynor index (mean / b)
    -0.07991
  • Jensen alpha (a)
    -0.02229
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01552
  • SD
    0.05991
  • Sharpe ratio (Glass type estimate)
    -0.25898
  • Sharpe ratio (Hedges UMVUE)
    -0.25748
  • df
    130.00000
  • t
    -0.18312
  • p
    0.50803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.03048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51450
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33859
  • Upside Potential Ratio
    4.67772
  • Upside part of mean
    0.21436
  • Downside part of mean
    -0.22987
  • Upside SD
    0.03825
  • Downside SD
    0.04583
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    -0.01552
  • SD of predictor
    0.10816
  • SD of criterion
    0.05991
  • Covariance
    0.00201
  • r
    0.31011
  • b (slope, estimate of beta)
    0.17177
  • a (intercept, estimate of alpha)
    -0.02306
  • Mean Square Error
    0.00327
  • DF error
    129.00000
  • t(b)
    3.70478
  • p(b)
    0.30579
  • t(a)
    -0.28508
  • p(a)
    0.51597
  • Lowerbound of 95% confidence interval for beta
    0.08004
  • Upperbound of 95% confidence interval for beta
    0.26351
  • Lowerbound of 95% confidence interval for alpha
    -0.18311
  • Upperbound of 95% confidence interval for alpha
    0.13698
  • Treynor index (mean / b)
    -0.09033
  • Jensen alpha (a)
    -0.02306
  • 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
    0.00766
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00204
  • Expected Shortfall on VaR
    0.00455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98053
  • Quartile 1
    0.99974
  • Median
    1.00000
  • Quartile 3
    1.00113
  • Maximum
    1.01849
  • Mean of quarter 1
    0.99682
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00046
  • Mean of quarter 4
    1.00302
  • Inter Quartile Range
    0.00139
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.99345
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.00940
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41176
  • VaR(95%) (moments method)
    0.00260
  • Expected Shortfall (moments method)
    0.00580
  • Extreme Value Index (regression method)
    0.61312
  • VaR(95%) (regression method)
    0.00266
  • Expected Shortfall (regression method)
    0.00807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00049
  • Median
    0.00182
  • Quartile 3
    0.00317
  • Maximum
    0.05187
  • Mean of quarter 1
    0.00042
  • Mean of quarter 2
    0.00059
  • Mean of quarter 3
    0.00299
  • Mean of quarter 4
    0.02772
  • Inter Quartile Range
    0.00267
  • 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
    0.05187
  • 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)
    0.01243
  • Compounded annual return (geometric extrapolation)
    0.01247
  • Calmar ratio (compounded annual return / max draw down)
    0.24038
  • Compounded annual return / average of 25% largest draw downs
    0.44979
  • Compounded annual return / Expected Shortfall lognormal
    1.62683

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
$15,000
# Trades
426
# Profitable
250
% Profitable
58.7%
Net Dividends
Correlation S&P500
0.360
Sharpe Ratio
0.654

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.